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In this paper, we propose a novel numerical method for Path-Dependent Partial Differential Equations (PPDEs). These equations firstly appeared in the seminal work of Dupire [2009], where the functional It\^o calculus was developed to deal…

Computational Finance · Quantitative Finance 2020-04-07 Yuri F. Saporito , Zhaoyu Zhang

In theory, boundary and initial conditions are important for the wellposedness of partial differential equations (PDEs). Numerically, these conditions can be enforced exactly in classical numerical methods, such as finite difference method…

Numerical Analysis · Mathematics 2020-08-05 Liyao Lyu , Keke Wu , Rui Du , Jingrun Chen

Physics-informed neural networks (PINNs) are capable of finding the solution for a given boundary value problem. We employ several ideas from the finite element method (FEM) to enhance the performance of existing PINNs in engineering…

Computational Engineering, Finance, and Science · Computer Science 2022-10-05 Shahed Rezaei , Ali Harandi , Ahmad Moeineddin , Bai-Xiang Xu , Stefanie Reese

Solving high-dimensional parabolic partial differential equations (PDEs) with deep learning methods is often computationally and memory intensive, primarily due to the need for automatic differentiation (AD) to compute large Hessian…

Numerical Analysis · Mathematics 2026-01-13 Wei Cai , Shuixin Fang , Tao Zhou

We present a neural network-based method for solving linear and nonlinear partial differential equations, by combining the ideas of extreme learning machines (ELM), domain decomposition and local neural networks. The field solution on each…

Numerical Analysis · Mathematics 2021-09-22 Suchuan Dong , Zongwei Li

To speed-up the solution to parametrized differential problems, reduced order models (ROMs) have been developed over the years, including projection-based ROMs such as the reduced-basis (RB) method, deep learning-based ROMs, as well as…

Numerical Analysis · Mathematics 2022-02-08 Ludovica Cicci , Stefania Fresca , Andrea Manzoni

We propose new machine learning schemes for solving high dimensional nonlinear partial differential equations (PDEs). Relying on the classical backward stochastic differential equation (BSDE) representation of PDEs, our algorithms estimate…

Probability · Mathematics 2020-06-08 Côme Huré , Huyên Pham , Xavier Warin

Many important problems in science and engineering require solving the so-called parametric partial differential equations (PDEs), i.e., PDEs with different physical parameters, boundary conditions, shapes of computation domains, etc.…

Machine Learning · Computer Science 2022-11-22 Xiang Huang , Zhanhong Ye , Hongsheng Liu , Beiji Shi , Zidong Wang , Kang Yang , Yang Li , Bingya Weng , Min Wang , Haotian Chu , Fan Yu , Bei Hua , Lei Chen , Bin Dong

Deep learning has been shown to be an effective tool in solving partial differential equations (PDEs) through physics-informed neural networks (PINNs). PINNs embed the PDE residual into the loss function of the neural network, and have been…

Machine Learning · Computer Science 2022-04-06 Jeremy Yu , Lu Lu , Xuhui Meng , George Em Karniadakis

Machine learning for scientific applications faces the challenge of limited data. We propose a framework that leverages a priori known physics to reduce overfitting when training on relatively small datasets. A deep neural network is…

Machine Learning · Computer Science 2019-11-22 Jonathan B. Freund , Jonathan F. MacArt , Justin Sirignano

Deep learning has achieved remarkable success in diverse applications; however, its use in solving partial differential equations (PDEs) has emerged only recently. Here, we present an overview of physics-informed neural networks (PINNs),…

Machine Learning · Computer Science 2021-11-03 Lu Lu , Xuhui Meng , Zhiping Mao , George E. Karniadakis

In this paper, we compute numerical approximations of the minimal surfaces, an essential type of Partial Differential Equation (PDE), in higher dimensions. Classical methods cannot handle it in this case because of the Curse of…

Analysis of PDEs · Mathematics 2023-09-08 Steven Zhou , Xiaojing Ye

We introduce the Optimizing a Discrete Loss (ODIL) framework for the numerical solution of Partial Differential Equations (PDE) using machine learning tools. The framework formulates numerical methods as a minimization of discrete residuals…

Numerical Analysis · Mathematics 2024-01-23 Petr Karnakov , Sergey Litvinov , Petros Koumoutsakos

The approximation of solutions of partial differential equations (PDEs) with numerical algorithms is a central topic in applied mathematics. For many decades, various types of methods for this purpose have been developed and extensively…

Numerical Analysis · Mathematics 2024-08-26 Lukas Gonon , Arnulf Jentzen , Benno Kuckuck , Siyu Liang , Adrian Riekert , Philippe von Wurstemberger

In this paper, we consider approximating the parameter-to-solution maps of parametric partial differential equations (PPDEs) using deep neural networks (DNNs). We propose an efficient approach combining reduced collocation methods (RCMs)…

Numerical Analysis · Mathematics 2025-08-18 Guanhang Lei , Zhen Lei , Lei Shi , Chenyu Zeng

Thanks to their universal approximation properties and new efficient training strategies, Deep Neural Networks are becoming a valuable tool for the approximation of mathematical operators. In the present work, we introduce Mesh-Informed…

Numerical Analysis · Mathematics 2023-05-08 Nicola Rares Franco , Andrea Manzoni , Paolo Zunino

The potential of neural networks (NN) in engineering is rooted in their capacity to understand intricate patterns and complex systems, leveraging their universal nonlinear approximation capabilities and high expressivity. Meanwhile,…

Computational Engineering, Finance, and Science · Computer Science 2025-01-23 Mohammed Abda , Elsa Piollet , Christopher Blake , Frédérick P. Gosselin

Modeling dynamics in the form of partial differential equations (PDEs) is an effectual way to understand real-world physics processes. For complex physics systems, analytical solutions are not available and numerical solutions are…

Numerical Analysis · Mathematics 2024-01-19 Zijiang Yang , Zhongwei Qiu , Dongmei Fu

This paper explores the difficulties in solving partial differential equations (PDEs) using physics-informed neural networks (PINNs). PINNs use physics as a regularization term in the objective function. However, a drawback of this approach…

Machine Learning · Computer Science 2023-06-21 Shamsulhaq Basir

Non-linear convection-reaction-diffusion (CRD) partial differential equations (PDEs) are crucial for modeling complex phenomena in fields such as biology, ecology, population dynamics, physics, and engineering. Numerical approximation of…

Computational Physics · Physics 2025-05-06 Fardous Hasan , Hazrat Ali , Hasan Asyari Arief