相关论文: A machine learning solver for high-dimensional int…

We propose a scalable preconditioned primal-dual hybrid gradient algorithm for solving partial differential equations (PDEs). We multiply the PDE with a dual test function to obtain an inf-sup problem whose loss functional involves…

We present a coupled system of ODEs which, when discretized with a constant time step/learning rate, recovers Nesterov's accelerated gradient descent algorithm. The same ODEs, when discretized with a decreasing learning rate, leads to novel…

We propose an accurate data-driven numerical scheme to solve Stochastic Differential Equations (SDEs), by taking large time steps. The SDE discretization is built up by means of a polynomial chaos expansion method, on the basis of…

This work proposes and analyzes a generalized acceleration technique for decreasing the computational complexity of using stochastic collocation (SC) methods to solve partial differential equations (PDEs) with random input data. The SC…

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…

In this work, we propose a novel two-level discretization for solving semilinear elliptic equations with random coefficients. Motivated by the two-grid method for deterministic partial differential equations (PDEs) introduced by Xu…

We present a method for approximating solutions of Stochastic Differential Equations (SDEs) with arbitrary rates. This approximation is derived for bounded and measurable test functions. Specifically, we demonstrate that, leveraging the…

In this article, we introduce and analyze a deep learning based approximation algorithm for SPDEs. Our approach employs neural networks to approximate the solutions of SPDEs along given realizations of the driving noise process. If applied…

Machine learning (ML) models have emerged as a promising approach for solving partial differential equations (PDEs) in science and engineering. Previous ML models typically cannot generalize outside the training data; for example, a trained…

A state-of-the-art deep domain decomposition method (D3M) based on the variational principle is proposed for partial differential equations (PDEs). The solution of PDEs can be formulated as the solution of a constrained optimization…

Many scientific and industrial applications require solving Partial Differential Equations (PDEs) to describe the physical phenomena of interest. Some examples can be found in the fields of aerodynamics, astrodynamics, combustion and many…

This article investigates the use of random feature neural networks for learning Kolmogorov partial (integro-)differential equations associated to Black-Scholes and more general exponential L\'evy models. Random feature neural networks are…

The integral equation approach to partial differential equations (PDEs) provides significant advantages in the numerical solution of the incompressible Navier-Stokes equations. In particular, the divergence-free condition and boundary…

Recently proposed numerical algorithms for solving high-dimensional nonlinear partial differential equations (PDEs) based on neural networks have shown their remarkable performance. We review some of them and study their convergence…

We develop in this work a numerical method for stochastic differential equations (SDEs) with weak second order accuracy based on Gaussian mixture. Unlike the conventional higher order schemes for SDEs based on It\^o-Taylor expansion and…

Non-linear partial differential Kolmogorov equations are successfully used to describe a wide range of time dependent phenomena, in natural sciences, engineering or even finance. For example, in physical systems, the Allen-Cahn equation…

Solutions of partial differential equations (PDEs) on manifolds have provided important applications in different fields in science and engineering. Existing methods are majorly based on discretization of manifolds as implicit functions,…

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…

Minimax optimization problems have attracted a lot of attention over the past few years, with applications ranging from economics to machine learning. While advanced optimization methods exist for such problems, characterizing their…

The numerical approximation of partial differential equations (PDEs) poses formidable challenges in high dimensions since classical grid-based methods suffer from the so-called curse of dimensionality. Recent attempts rely on a combination…