Numerically Approximating Parabolic PDEs using Deep Learning

In this thesis, we demonstrate the use of machine learning in numerically solving both linear and non-linear parabolic partial differential equations. By using deep learning, rather than more traditional, established numerical methods (for example, Monte Carlo sampling) to calculate numeric solutions to such problems, we can tackle even very high dimensional problems, potentially overcoming the curse of dimensionality. This happens when the computational complexity of a problem grows exponentially with the number of dimensions. In Chapter 1, we describe the derivation of the computational problem needed to apply the deep learning method in the case of the linear Kolmogorov PDE. We start with an introduction to a few core concepts in Stochastic Analysis, particularly Stochastic Differential Equations, and define the Kolmogorov Backward Equation. We describe how the Feynman-Kac theorem means that the solution to the linear Kolmogorov PDE is a conditional expectation, and therefore how we can turn the numerical approximation of solving such a PDE into a minimisation. Chapter 2 discusses the key ideas behind the terminology deep learning; specifically, what a neural network is and how we can apply this to solve the minimisation problem from Chapter 1. We describe the key features of a neural network, the training process, and how parameters can be learned through a gradient descent based optimisation. We summarise the numerical method in Algorithm 1. In Chapter 3, we implement a neural network and train it to solve a 100-dimensional linear Black-Scholes PDE with underlying geometric Brownian motion, and similarly with correlated Brownian motion. We also illustrate an example with a non-linear auxiliary Itô process: the Stochastic Lorenz Equation. We additionally compute a solution to the geometric Brownian motion problem in 1 dimensions, and compare the accuracy of the solution found by the neural network and that found by two other numerical methods: Monte Carlo sampling and finite differences, as well as the solution found using the implicit formula for the solution. For 2-dimensions, the solution of the geometric Brownian motion problem is compared against a solution obtained by Monte Carlo sampling, which shows that the neural network approximation falls within the 99\% confidence interval of the Monte Carlo estimate. We also investigate the impact of the frequency of re-sampling training data and the batch size on the rate of convergence of the neural network. Chapter 4 describes the derivation of the equivalent minimisation problem for solving a Kolmogorov PDE with non-linear coefficients, where we discretise the PDE in time, and derive an approximate Feynman-Kac representation on each time step. Chapter 5 demonstrates the method on an example of a non-linear Black-Scholes PDE and a Hamilton-Jacobi-Bellman equation. The numerical examples are based on the code by Beck et al. in their papers "Solving the Kolmogorov PDE by means of deep learning" and "Deep splitting method for parabolic PDEs", and are written in the Julia programming language, with use of the Flux library for Machine Learning in Julia. The code used to implement the method can be found at https://github.com/julia-sand/pde_appro

An overview on deep learning-based approximation methods for partial differential equations

It is one of the most challenging problems in applied mathematics to approximatively solve high-dimensional partial differential equations (PDEs). Recently, several deep learning-based approximation algorithms for attacking this problem have been proposed and tested numerically on a number of examples of high-dimensional PDEs. This has given rise to a lively field of research in which deep learning-based methods and related Monte Carlo methods are applied to the approximation of high-dimensional PDEs. In this article we offer an introduction to this field of research, we review some of the main ideas of deep learning-based approximation methods for PDEs, we revisit one of the central mathematical results for deep neural network approximations for PDEs, and we provide an overview of the recent literature in this area of research.Comment: 23 page

A proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients

In recent years deep artificial neural networks (DNNs) have been successfully employed in numerical simulations for a multitude of computational problems including, for example, object and face recognition, natural language processing, fraud detection, computational advertisement, and numerical approximations of partial differential equations (PDEs). These numerical simulations indicate that DNNs seem to possess the fundamental flexibility to overcome the curse of dimensionality in the sense that the number of real parameters used to describe the DNN grows at most polynomially in both the reciprocal of the prescribed approximation accuracy $\varepsilon > 0$ and the dimension $d \in \mathbb{N}$ of the function which the DNN aims to approximate in such computational problems. There is also a large number of rigorous mathematical approximation results for artificial neural networks in the scientific literature but there are only a few special situations where results in the literature can rigorously justify the success of DNNs in high-dimensional function approximation. The key contribution of this paper is to reveal that DNNs do overcome the curse of dimensionality in the numerical approximation of Kolmogorov PDEs with constant diffusion and nonlinear drift coefficients. We prove that the number of parameters used to describe the employed DNN grows at most polynomially in both the PDE dimension $d \in \mathbb{N}$ and the reciprocal of the prescribed approximation accuracy $\varepsilon > 0$. A crucial ingredient in our proof is the fact that the artificial neural network used to approximate the solution of the PDE is indeed a deep artificial neural network with a large number of hidden layers.Comment: 48 page