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DGM: A deep learning algorithm for solving partial differential equations
Open accessAbstract
High-dimensional PDEs have been a longstanding computational challenge. We propose a deep learning algorithm similar in spirit to Galerkin methods, using a deep neural network instead of linear combinations of basis functions. The PDE is approximated with a deep neural network, which is trained on random batches of spatial points to satisfy the differential operator and boundary conditions. The algorithm is mesh-less, which is key since meshes become infeasible in higher dimensions. Instead of forming a mesh, sequences of spatial points are randomly sampled. We implement the approach for American options (a type of free-boundary PDE which is widely used in finance) in up to 100 dimensions. We call the algorithm a "Deep Galerkin Method (DGM)".
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Hochreiter, S., & Schmidhuber, J. (1997) · Neural Computation · doi:10.1162/neco.1997.9.8.1735 · Cited by 102,318
Adam: A Method for Stochastic Optimization
Kingma, D. P., & Ba, J. (2014) · arXiv · doi:10.48550/arxiv.1412.6980 · Cited by 98,946
Approximation by superpositions of a sigmoidal function
Cybenko, G. (1989) · Mathematics of Control, Signals, and Systems · doi:10.1007/bf02551274 · Cited by 13,883
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Digital twin: values, challenges and enablers from a modeling perspective
Rasheed, A., San, O., & Kvamsdal, T. (2020) · IEEE Access · doi:10.1109/access.2020.2970143 · Cited by 1,952
Universal Differential Equations for Scientific Machine Learning
Rackauckas, C., Ma, Y., Martensen, J., Warner, C., Zubov, K., Supekar, R., Skinner, D., Ramadhan, A., & Edelman, A. (2020) · doi:10.21203/rs.3.rs-55125/v1 · Cited by 643
Weak adversarial networks for high-dimensional partial differential equations
Zang, Y., Bao, G., Ye, X., & Zhou, H. (2020) · Journal of Computational Physics · doi:10.1016/j.jcp.2020.109409 · Cited by 444
Perspectives on the integration between first-principles and data-driven modeling
Bradley, W., Kim, J., Kilwein, Z., Blakely, L., Eydenberg, M., Jalvin, J., Laird, C., & Boukouvala, F. (2022) · Computers & Chemical Engineering · doi:10.1016/j.compchemeng.2022.107898 · Cited by 231
Metadata
- Authors
- Sirignano, J., & Spiliopoulos, K.
- Venue
- Journal of Computational Physics
- Publisher
- Elsevier BV
- Published
- 2018-12
- Volume
- 375
- Pages
- 1339-1364
- ISSN
- 0021-9991 (ISSN-L)
- OpenAlex
- W2749028154
- Cited by
- 2,208
- References
- 3
- FWCI
- 71.76
- Type
- journal article
- Language
- en
- Open access
- bronze
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