Deep Learning-Based Numerical Methods for High-Dimensional Parabolic PDEs and Forward-Backward SDEs

Applied Math And Analysis Seminar

Jiequn Han (Princeton University)

Wednesday, October 17, 2018 -
12:00pm to 1:00pm
Physics 119

Developing algorithms for solving high-dimensional partial differential equations (PDEs) and forward-backward stochastic differential equations (FBSDEs) has been an exceedingly difficult task for a long time, due to the notorious difficulty known as the curse of dimensionality. In this talk we introduce a new type of algorithms, called "deep BSDE method", to solve general high-dimensional parabolic PDEs and FBSDEs. Starting from the BSDE formulation, we approximate the unknown Z-component by neural networks and design a least-squares objective function for parameter optimization. Numerical results of a variety of examples demonstrate that the proposed algorithm is quite effective in high-dimensions, in terms of both accuracy and speed. We furthermore provide a theoretical error analysis to illustrate the validity and property of the designed objective function.

Last updated: 2019/04/23 - 6:13am