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arXiv 2012.07747math.NAcs.LGcs.NA
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使用深度学习求解大维度非线性Kolmogorov方程:离散化方案的数值比较

Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes

Sapienza Università di Roma(罗马大学);École Polytechnique Fédérale de Lausanne(洛桑联邦理工学院)

Nicolas Macris, Raffaele Marino

摘要:

非线性偏微分Kolmogorov方程被成功地用于描述自然科学、工程甚至金融领域中广泛的不定常现象。例如,在物理系统中,艾伦-卡恩方程描述了与相变相关的图案形成。相反,在金融领域,布莱克-斯科尔斯方程描述了衍生投资工具价格的演变。这些现代应用程序往往需要解决这些方程在高维制度中,经典的方法是无效的。最近,E,Han和Jentzen介绍了一种基于深度学习的有趣的新方法[1][2]。其主要思想是构建一个深度网络,该网络由Kolmogorov方程下的离散随机微分方程的样本进行训练。该网络能够近似,至少在数值上,多项式复杂度在整个空间域的柯尔莫哥洛夫方程的解决方案。在这篇文章中,我们通过使用随机微分方程的不同离散方案来研究深度网络的变体。我们比较了相关网络的性能,基准的例子,并表明,对于一些离散化方案,在不影响所观察到的计算复杂性的情况下,提高精度是可能的。

英文摘要:

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 describes pattern formation associated to phase transitions. In finance, instead, the Black-Scholes equation describes the evolution of the price of derivative investment instruments. Such modern applications often require to solve these equations in high-dimensional regimes in which classical approaches are ineffective. Recently, an interesting new approach based on deep learning has been introduced by E, Han, and Jentzen [1][2]. The main idea is to construct a deep network which is trained from the samples of discrete stochastic differential equations underlying Kolmogorov's equation. The network is able to approximate, numerically at least, the solutions of the Kolmogorov equation with polynomial complexity in whole spatial domains. In this contribution we study variants of the deep networks by using different discretizations schemes of the stochastic differential equation. We compare the performance of the associated networks, on benchmarked examples, and show that, for some discretization schemes, improvements in the accuracy are possible without affecting the observed computational complexity.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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