Analytical solution of stochastic differential equation by multilayer perceptron neural network approximation of Fokker–Planck equation

DOI10.1002/NUM.22445MaRDI QIDQ6071665zbMATH OpenOpenAlexWikidataFDO

Authors Ali Namadchian, Mehdi Ramezani

Publication date 28 November 2023

Published in Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/num.22445

zbMATH Keywords

Bayesian regularizationFokker-Planck equationLevenberg-Marquardt training algorithmneural networkstochastic differential equation

Mathematics Subject Classification ID

Partial differential equations (35-XX) Numerical analysis (65-XX)

Cites work

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• Composite generalized Laguerre spectral method for nonlinear Fokker-Planck equations on the whole line
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• Lyapunov-based model predictive control of stochastic nonlinear systems
• Multilayer feedforward networks are universal approximators
• Numerical solution of two-dimensional Fokker-Planck equations
• OPTIMAL CONTROL OF PROBABILITY DENSITY FUNCTIONS OF STOCHASTIC PROCESSES
• The Fokker-Planck equation. Methods of solution and applications.
• The numerical solution of Fokker-Planck equation with radial basis functions (RBFs) based on the meshless technique of Kansa's approach and Galerkin method
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

Cited in

(2)

• The model reduction of the Vlasov–Poisson–Fokker–Planck system to the Poisson–Nernst–Planck system via the Deep Neural Network Approach
• Lyapunov-based stochastic model predictive control of stochastic nonlinear systems with input-delay using multi-dimensional Taylor network

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