Related papers: An approximate operator-based learning method for …
While it is widely known that neural networks are universal approximators of continuous functions, a less known and perhaps more powerful result is that a neural network with a single hidden layer can approximate accurately any nonlinear…
We present a method for learning latent stochastic differential equations (SDEs) from high-dimensional time series data. Given a high-dimensional time series generated from a lower dimensional latent unknown It\^o process, the proposed…
There has been a great deal of recent interest in learning and approximation of functions that can be expressed as expectations of a given nonlinearity with respect to its random internal parameters. Examples of such representations include…
The signature is a collection of iterated integrals describing the "shape" of a path. It appears naturally in the Taylor expansions of controlled differential equations and, as a consequence, is arguably the central object within rough path…
We study pathwise approximation of scalar stochastic differential equations at a single time point or globally in time by means of methods that are based on finitely many observations of the driving Brownian motion. We prove lower error…
In this article we investigate the numerical solution of a scalar semilinear stochastic delay differential equation (SDDE) where the linear instantaneous feedback and nonlinear delayed feedback terms are perturbed by a pair of standard…
We introduce a novel paradigm for learning non-parametric drift and diffusion functions for stochastic differential equation (SDE). The proposed model learns to simulate path distributions that match observations with non-uniform time…
In this paper, we investigate the problem of strong approximation of the solutions of stochastic differential equations (SDEs) when the drift coefficient is given in integral form. We investigate its upper error bounds, in terms of the…
In this paper we propose a new numerical method for solving stochastic differential equations (SDEs). As an application of this method we propose an explicit numerical scheme for a super linear SDE for which the usual Euler scheme diverges.
In many fields of application, dynamic processes that evolve through time are well described by systems of ordinary differential equations (ODEs). The analytical solution of the ODEs is often not available and different methods have been…
A class of super-linear stochastic delay differential equations (SDDEs) with variable delay and Markovian switching is considered. The main aim of this paper is to develop the partially truncated Euler-Maruyama (EM) method for the…
Path planning algorithms fundamentally aim to compute collision-free paths, with many works focusing on finding the optimal distance path. However, for several applications, a more suitable approach is to balance response time, path safety,…
We introduce a new second-order inertial optimization method for machine learning called INNA. It exploits the geometry of the loss function while only requiring stochastic approximations of the function values and the generalized…
This paper aims to devise an adaptive neural network basis method for numerically solving a second-order semilinear partial differential equation (PDE) with low-regular solutions in two/three dimensions. The method is obtained by combining…
In numerous contexts, high-resolution solutions to partial differential equations are required to capture faithfully essential dynamics which occur at small spatiotemporal scales, but these solutions can be very difficult and slow to obtain…
Automated analysis of complex systems based on multiple readouts remains a challenge. Change point detection algorithms are aimed to locating abrupt changes in the time series behaviour of a process. In this paper, we present a novel change…
We address the problem of approximating the moments of the solution, $\boldsymbol{X}(t)$, of an It\^o stochastic differential equation (SDE) with drift and a diffusion terms over a time-grid $t_0, t_1, \ldots, t_n$. In particular, we assume…
Deep Operator Networks (DeepOnets) have revolutionized the domain of scientific machine learning for the solution of the inverse problem for dynamical systems. However, their implementation necessitates optimizing a high-dimensional space…
Numerical resolution of high-dimensional nonlinear PDEs remains a huge challenge due to the curse of dimensionality. Starting from the weak formulation of the Lawson-Euler scheme, this paper proposes a stochastic particle method (SPM) by…
A method for approximating sixth-order ordinary differential equations is proposed, which utilizes a deep learning feedforward artificial neural network, referred to as a neural solver. The efficacy of this unsupervised machine learning…