Related papers: Deep neural network approximations for Monte Carlo…
It is one of the most challenging problems in applied mathematics to approximatively solve high-dimensional partial differential equations (PDEs). Recently, several deep learning-based approximation algorithms for attacking this problem…
We propose a deep neural network architecture for storing approximate Lyapunov functions of systems of ordinary differential equations. Under a small-gain condition on the system, the number of neurons needed for an approximation of a…
Accurate approximation of scalar-valued functions from sample points is a key task in computational science. Recently, machine learning with Deep Neural Networks (DNNs) has emerged as a promising tool for scientific computing, with…
We develop several deep learning algorithms for approximating families of parametric PDE solutions. The proposed algorithms approximate solutions together with their gradients, which in the context of mathematical finance means that the…
In this paper, we study the error in first order Sobolev norm in the approximation of solutions to linear parabolic PDEs. We use a Monte Carlo Euler scheme obtained from combining the Feynman--Kac representation with a Euler discretization…
A burgeoning line of research leverages deep neural networks to approximate the solutions to high dimensional PDEs, opening lines of theoretical inquiry focused on explaining how it is that these models appear to evade the curse of…
In this paper, we establish that for a wide class of controlled stochastic differential equations (SDEs) with stiff coefficients, the value functions of corresponding zero-sum games can be represented by a deep artificial neural network…
Deep neural networks (DNNs) achieve impressive results for complicated tasks like object detection on images and speech recognition. Motivated by this practical success, there is now a strong interest in showing good theoretical properties…
Learning approximations to smooth target functions of many variables from finite sets of pointwise samples is an important task in scientific computing and its many applications in computational science and engineering. Despite well over…
In recent years residual neural networks (ResNets) as introduced by [He, K., Zhang, X., Ren, S., and Sun, J., Proceedings of the IEEE conference on computer vision and pattern recognition (2016), 770-778] have become very popular in a large…
We explain how to use Kolmogorov Superposition Theorem (KST) to break the curse of dimensionality when approximating a dense class of multivariate continuous functions. We first show that there is a class of functions called…
The development of new classification and regression algorithms based on empirical risk minimization (ERM) over deep neural network hypothesis classes, coined deep learning, revolutionized the area of artificial intelligence, machine…
We present polynomial-augmented neural networks (PANNs), a novel machine learning architecture that combines deep neural networks (DNNs) with a polynomial approximant. PANNs combine the strengths of DNNs (flexibility and efficiency in…
We present approximation results and numerical experiments for the use of randomized neural networks within physics-informed extreme learning machines to efficiently solve high-dimensional PDEs, demonstrating both high accuracy and low…
Recent experiments have shown that deep networks can approximate solutions to high-dimensional PDEs, seemingly escaping the curse of dimensionality. However, questions regarding the theoretical basis for such approximations, including the…
In this work, we study the approximation of expected values of functional quantities on the solution of a stochastic differential equation (SDE), where we replace the Monte Carlo estimation with the evaluation of a deep neural network. Once…
Deep neural networks have been widely used as universal approximators for functions with inherent physical structures, including permutation symmetry. In this paper, we construct symmetric deep neural networks to approximate symmetric…
In this dissertation we study the tractability of the information-based complexity $n(\varepsilon,d)$ for $d$-variate function approximation problems. In the deterministic setting for many unweighted problems the curse of dimensionality…
In this paper, we establish a neural network to approximate functionals, which are maps from infinite dimensional spaces to finite dimensional spaces. The approximation error of the neural network is $O(1/\sqrt{m})$ where $m$ is the size of…
Recently a number of papers have suggested using neural-networks in order to approximate policy functions in DSGE models, while avoiding the curse of dimensionality, which for example arises when solving many HANK models, and while…