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In this work, we propose a new deep learning-based scheme for solving high dimensional nonlinear backward stochastic differential equations (BSDEs). The idea is to reformulate the problem as a global optimization, where the local loss…
We propose a new multistep deep learning-based algorithm for the resolution of moderate to high dimensional nonlinear backward stochastic differential equations (BSDEs) and their corresponding parabolic partial differential equations (PDE).…
We introduce and analyze a method of learning-informed parameter identification for partial differential equations (PDEs) in an all-at-once framework. The underlying PDE model is formulated in a rather general setting with three unknowns:…
Machine learning for partial differential equations (PDEs) is a hot topic. In this paper we introduce and analyse a Deep BSDE scheme for nonlinear integro-PDEs with unbounded nonlocal operators -problems arising in e.g. stochastic control…
Non-autonomous differential equations are crucial for modeling systems influenced by external signals, yet fitting these models to data becomes particularly challenging when the signals change abruptly. To address this problem, we propose a…
In this paper, a modified BFGS algorithm is proposed. The modified BFGS matrix estimates a modified Hessian matrix which is a convex combination of an identity matrix for the steepest descent algorithm and a Hessian matrix for the Newton…
Stochastic nonlinear dynamical systems are ubiquitous in modern, real-world applications. Yet, estimating the unknown parameters of stochastic, nonlinear dynamical models remains a challenging problem. The majority of existing methods…
We propose a neural network-based algorithm for solving forward and inverse problems for partial differential equations in unsupervised fashion. The solution is approximated by a deep neural network which is the minimizer of a cost…
Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use…
Recent research has used deep learning to develop partial differential equation (PDE) models in science and engineering. The functional form of the PDE is determined by a neural network, and the neural network parameters are calibrated to…
In this paper we establish a connection between non-convex optimization methods for training deep neural networks and nonlinear partial differential equations (PDEs). Relaxation techniques arising in statistical physics which have already…
Scientific machine learning has been successfully applied to inverse problems and PDE discovery in computational physics. One caveat concerning current methods is the need for large amounts of ("clean") data, in order to characterize the…
Parameter inference of dynamical systems is a challenging task faced by many researchers and practitioners across various fields. In many applications, it is common that only limited variables are observable. In this paper, we propose a…
Non linear regression models are a standard tool for modeling real phenomena, with several applications in machine learning, ecology, econometry... Estimating the parameters of the model has garnered a lot of attention during many years. We…
Machine learning algorithms have been successfully used to approximate nonlinear maps under weak assumptions on the structure and properties of the maps. We present deep neural networks using dense and convolutional layers to solve an…
In this work, we have presented a simple analytical approximation scheme for generic non-linear FBSDEs. By treating the interested system as the linear decoupled FBSDE perturbed with non-linear generator and feedback terms, we have shown…
We investigate the use of neural networks (NNs) for the estimation of hidden model parameters and uncertainty quantification from noisy observational data for inverse parameter estimation problems. We formulate the parameter estimation as a…
Partial differential equations (PDEs) are widely used for the description of physical and engineering phenomena. Some key parameters involved in PDEs, which represent certain physical properties with important scientific interpretations,…
Developing efficient numerical algorithms for the solution of high dimensional random Partial Differential Equations (PDEs) has been a challenging task due to the well-known curse of dimensionality. We present a new solution framework for…
Physics Informed Neural Networks is a numerical method which uses neural networks to approximate solutions of partial differential equations. It has received a lot of attention and is currently used in numerous physical and engineering…