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Huré, Côme; Pham, Huyên; Warin, Xavier

Deep backward schemes for high-dimensional nonlinear PDEs. (English) Zbl 1440.60063

Math. Comput. 89, No. 324, 1547-1579 (2020).
Summary: We propose new machine learning schemes for solving high-dimensional nonlinear partial differential equations (PDEs). Relying on the classical backward stochastic differential equation (BSDE) representation of PDEs, our algorithms estimate simultaneously the solution and its gradient by deep neural networks. These approximations are performed at each time step from the minimization of loss functions defined recursively by backward induction. The methodology is extended to variational inequalities arising in optimal stopping problems. We analyze the convergence of the deep learning schemes and provide error estimates in terms of the universal approximation of neural networks. Numerical results show that our algorithms give very good results till dimension 50 (and certainly above), for both PDEs and variational inequalities problems. For the PDEs resolution, our results are very similar to those obtained by the recent method in [W. E et al., Commun. Math. Stat. 5, No. 4, 349–380 (2017; Zbl 1382.65016)] when the latter converges to the right solution or does not diverge. Numerical tests indicate that the proposed methods are not stuck in poor local minima as it can be the case with the algorithm designed in the work previously mentioned, and no divergence is experienced. The only limitation seems to be due to the inability of the considered deep neural networks to represent a solution with a too complex structure in high dimension.

Cited in 4 Reviews
Cited in 55 Documents

MSC:

60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
65C20 Probabilistic models, generic numerical methods in probability and statistics
65M12 Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

Keywords:

deep neural networks; nonlinear PDEs in high dimension; optimal stopping problem; backward stochastic differential equations

Citations:

Zbl 1382.65016

Software:

DGM
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\textit{C. Huré} et al., Math. Comput. 89, No. 324, 1547--1579 (2020; Zbl 1440.60063)
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References:

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