Interpolating between BSDEs and PINNs -- deep learning for elliptic and parabolic boundary value problems

• URL: http://arxiv.org/abs/2112.03749v1
• Date: Tue, 7 Dec 2021 15:01:24 GMT
• Title: Interpolating between BSDEs and PINNs -- deep learning for elliptic and parabolic boundary value problems
• Authors: Nikolas N\"usken, Lorenz Richter
• Abstract summary: High-dimensional partial differential equations are a recurrent challenge in economics, science and engineering. We suggest a methodology based on the novel $textitdiffusion loss$ that interpolates between BSDEs and PINNs. Our contribution opens the door towards a unified understanding of numerical approaches for high-dimensional PDEs.
• Score: 1.52292571922932
• License: http://creativecommons.org/licenses/by-nc-sa/4.0/
• Abstract: Solving high-dimensional partial differential equations is a recurrent challenge in economics, science and engineering. In recent years, a great number of computational approaches have been developed, most of them relying on a combination of Monte Carlo sampling and deep learning based approximation. For elliptic and parabolic problems, existing methods can broadly be classified into those resting on reformulations in terms of $\textit{backward stochastic differential equations}$ (BSDEs) and those aiming to minimize a regression-type $L^2$-error ($\textit{physics-informed neural networks}$, PINNs). In this paper, we review the literature and suggest a methodology based on the novel $\textit{diffusion loss}$ that interpolates between BSDEs and PINNs. Our contribution opens the door towards a unified understanding of numerical approaches for high-dimensional PDEs, as well as for implementations that combine the strengths of BSDEs and PINNs. We also provide generalizations to eigenvalue problems and perform extensive numerical studies, including calculations of the ground state for nonlinear Schr\"odinger operators and committor functions relevant in molecular dynamics.

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