相关论文: Solving high dimensional FBSDE with deep signature…

Nonlinear dimensionality reduction methods have demonstrated top-notch performance in many pattern recognition and image classification tasks. Despite their popularity, they suffer from highly expensive time and memory requirements, which…

We present a novel deep learning method for estimating time-dependent parameters in Markov processes through discrete sampling. Departing from conventional machine learning, our approach reframes parameter approximation as an optimization…

Designing efficient and accurate numerical solvers for high-dimensional partial differential equations (PDEs) remains a challenging and important topic in computational science and engineering, mainly due to the "curse of dimensionality" in…

Using purely probabilistic methods, we prove the existence and the uniqueness of solutions fora system of coupled forward-backward stochastic differential equations (FBSDEs) with measurable, possibly discontinuous coefficients. As a…

Classification with a large number of classes is a key problem in machine learning and corresponds to many real-world applications like tagging of images or textual documents in social networks. If one-vs-all methods usually reach top…

We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is proposed to learn the conditional expectation, which…

Deep learning methods based on backward stochastic differential equations (BSDEs) have emerged as competitive alternatives to physics-informed neural networks (PINNs) for solving high-dimensional partial differential equations (PDEs). By…

We combine concepts from multilevel solvers for partial differential equations (PDEs) with neural network based deep learning and propose a new methodology for the efficient numerical solution of high-dimensional parametric PDEs. An…

A novel approximate Bayesian filter based on backward stochastic differential equations is introduced. It uses a nonlinear Feynman--Kac representation of the filtering problem and the approximation of an unnormalized filtering density using…

As the dimension of a system increases, traditional methods for control and differential games rapidly become intractable, making the design of safe autonomous agents challenging in complex or team settings. Deep-learning approaches avoid…

Neural network based methods have emerged as a promising paradigm for scientific computing, yet they face critical bottlenecks in high frequency function approximation and partial differential equation (PDE) solving.

This paper focuses on proposing a deep learning initialized iterative method (Int-Deep) for low-dimensional nonlinear partial differential equations (PDEs). The corresponding framework consists of two phases. In the first phase, an…

Feynman's path integral approach is to sum over all possible spatio-temporal paths to reproduce the quantum wave function and the corresponding time evolution, which has enormous potential to reveal quantum processes in classical view.…

We develop a novel deep learning method for uncertainty quantification in stochastic partial differential equations based on Bayesian neural network (BNN) and Hamiltonian Monte Carlo (HMC). A BNN efficiently learns the posterior…

Learning the undirected graph structure of a Markov network from data is a problem that has received a lot of attention during the last few decades. As a result of the general applicability of the model class, a myriad of methods have been…

In this paper, we investigate reflected backward stochastic differential equations driven by rough paths (rough RBSDEs), which can be viewed as probabilistic representations of nonlinear rough partial differential equations (rough PDEs) or…

In this paper a class of higher order finite element methods for the discretization of surface Stokes equations is studied. These methods are based on an unfitted finite element approach in which standard Taylor-Hood spaces on an underlying…

Partial Differential Equations are precise in modelling the physical, biological and graphical phenomena. However, the numerical methods suffer from the curse of dimensionality, high computation costs and domain-specific discretization. We…

We prove an existence and uniqueness result for two-obstacle problem for quasilinear Stochastic PDEs (DOSPDEs for short). The method is based on the probabilistic interpretation of the solution by using the backward doubly stochastic…

Methods for solving scientific computing and inference problems, such as kernel- and neural network-based approaches for partial differential equations (PDEs), inverse problems, and supervised learning tasks, depend crucially on the choice…