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Applications in quantitative finance such as optimal trade execution, risk management of options, and optimal asset allocation involve the solution of high dimensional and nonlinear Partial Differential Equations (PDEs). The connection…

Machine Learning · Statistics 2019-10-28 Batuhan Güler , Alexis Laignelet , Panos Parpas

Partial Differential Equations (PDEs) are central to science and engineering. Since solving them is computationally expensive, a lot of effort has been put into approximating their solution operator via both traditional and recently…

Machine Learning · Computer Science 2025-02-14 Alessandro Longhi , Danny Lathouwers , Zoltán Perkó

An exact arithmetic, memory efficient direct solution method for finite element method (FEM) computations is outlined. Unlike conventional black-box or low-rank direct solvers that are opaque to the underlying physical problem, the proposed…

Computational Engineering, Finance, and Science · Computer Science 2020-02-13 Javad Moshfegh , Marinos N. Vouvakis

The numerical solution of partial differential equations (PDEs) is challenging because of the need to resolve spatiotemporal features over wide length and timescales. Often, it is computationally intractable to resolve the finest features…

Disordered Systems and Neural Networks · Physics 2019-08-22 Yohai Bar-Sinai , Stephan Hoyer , Jason Hickey , Michael P. Brenner

With recent advancements in computer hardware and software platforms, there has been a surge of interest in solving partial differential equations with deep learning-based methods, and the integration with domain decomposition strategies…

Numerical Analysis · Mathematics 2023-05-18 Qi Sun , Xuejun Xu , Haotian Yi

Neural networks have shown great potential in accelerating the solution of partial differential equations (PDEs). Recently, there has been a growing interest in introducing physics constraints into training neural PDE solvers to reduce the…

Machine Learning · Computer Science 2023-05-30 Xinquan Huang , Wenlei Shi , Qi Meng , Yue Wang , Xiaotian Gao , Jia Zhang , Tie-Yan Liu

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

Deep neural networks (DNN) have been used to model nonlinear relations between physical quantities. Those DNNs are embedded in physical systems described by partial differential equations (PDE) and trained by minimizing a loss function that…

Numerical Analysis · Mathematics 2020-02-26 Kailai Xu , Eric Darve

In this paper, we introduce the Deep Finite Volume Method (DFVM), an innovative deep learning framework tailored for solving high-order (order \(\geq 2\)) partial differential equations (PDEs). Our approach centers on a novel loss function…

Numerical Analysis · Mathematics 2024-07-15 Jianhuan Cen , Qingsong Zou

This paper proposes a domain decomposition subspace neural network method for efficiently solving linear and nonlinear partial differential equations. By combining the principles of domain decomposition and subspace neural networks, the…

Numerical Analysis · Mathematics 2025-05-28 Zhenxing Fu , Hongliang Liu , Zhiqiang Sheng , Baixue Xing

For the Poisson equation posed in a domain containing a large number of polygonal perforations, we propose a low-dimensional coarse approximation space based on a coarse polygonal partitioning of the domain. Similarly to other multiscale…

Numerical Analysis · Mathematics 2024-04-17 Miranda Boutilier , Konstantin Brenner , Victorita Dolean

In this work, we present a study combining two approaches in the context of solving PDEs: the continuous finite element method (FEM) and more recent techniques based on neural networks. In recent years, physics-informed neural networks…

The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to make the best possible use of them. In fact, considerations…

Numerical Analysis · Mathematics 2017-05-11 Francisco Bernal , Gonçalo dos Reis , Greig Smith

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…

Numerical Analysis · Mathematics 2023-02-10 Christian Beck , Martin Hutzenthaler , Arnulf Jentzen , Benno Kuckuck

Partial Differential Equations (PDE) are fundamental to model different phenomena in science and engineering mathematically. Solving them is a crucial step towards a precise knowledge of the behaviour of natural and engineered systems. In…

Neural networks have shown significant potential in solving partial differential equations (PDEs). While deep networks are capable of approximating complex functions, direct one-shot training often faces limitations in both accuracy and…

Numerical Analysis · Mathematics 2025-03-10 Mingxing Weng , Zhiping Mao , Jie Shen

Recent works have shown that deep neural networks can be employed to solve partial differential equations, giving rise to the framework of physics informed neural networks. We introduce a generalization for these methods that manifests as a…

Numerical Analysis · Mathematics 2021-03-25 Remco van der Meer , Cornelis Oosterlee , Anastasia Borovykh

Hybrid algorithms, which combine black-box machine learning methods with experience from traditional numerical methods and domain expertise from diverse application areas, are progressively gaining importance in scientific machine learning…

Numerical Analysis · Mathematics 2023-12-22 Axel Klawonn , Martin Lanser , Janine Weber

It is one of the most challenging issues in applied mathematics to approximately solve high-dimensional partial differential equations (PDEs) and most of the numerical approximation methods for PDEs in the scientific literature suffer from…

Probability · Mathematics 2024-06-04 Fabian Hornung , Arnulf Jentzen , Diyora Salimova

Physics-informed deep learning often faces optimization challenges due to the complexity of solving partial differential equations (PDEs), which involve exploring large solution spaces, require numerous iterations, and can lead to unstable…