论文标题

用于全历史递归的多级PICARD近似的数值模拟,用于高维偏微分方程的系统

Numerical simulations for full history recursive multilevel Picard approximations for systems of high-dimensional partial differential equations

论文作者

Becker, Sebastian, Braunwarth, Ramon, Hutzenthaler, Martin, Jentzen, Arnulf, von Wurstemberger, Philippe

论文摘要

应用数学中最具挑战性的问题之一是开发和分析能够大致计算高维非线性偏微分方程(PDE)解决方案的算法。特别是,很难开发近似算法,而在尺寸的诅咒下,算法所需的计算操作数量以计算$ε> 0 $的计算操作数量在同时多点上的精度均以互惠$ 1/ε$的准确性和pers $ d \ n per n of per n of coppy $ 1/ε$ c。最近,已经引入了一种新的近似方法,即所谓的完整历史递归多层次PICARD(MLP)近似方法,直到今天,这种近似方案是科学文献中唯一的近似方法,已证明它可以克服与一般时间层的半层次PDES数字近似性近似性的诅咒。将MLP近似方法扩展到半连接PDE的系统并在几个示例PDE上进行数值测试是本文的关键贡献。更具体地说,我们在Allen-Cahn PDE,正弦型PDE,耦合的半线性热PDES系统和半线性黑色 - 甲壳虫PDE的情况下应用了提出的MLP近似方法,最高可达1000个维度。在每个示例PDE的情况下,提出的数值模拟结果表明,提出的MLP近似方法在短时间内产生非常准确的结果,尤其是所提出的数值模拟结果表明,所提出的MLP近似方案显着胜过某些深度学习基于基于某些高度学习近似方法的高度学习方法。

One of the most challenging issues in applied mathematics is to develop and analyze algorithms which are able to approximately compute solutions of high-dimensional nonlinear partial differential equations (PDEs). In particular, it is very hard to develop approximation algorithms which do not suffer under the curse of dimensionality in the sense that the number of computational operations needed by the algorithm to compute an approximation of accuracy $ε> 0$ grows at most polynomially in both the reciprocal $1/ε$ of the required accuracy and the dimension $d \in \mathbb{N}$ of the PDE. Recently, a new approximation method, the so-called full history recursive multilevel Picard (MLP) approximation method, has been introduced and, until today, this approximation scheme is the only approximation method in the scientific literature which has been proven to overcome the curse of dimensionality in the numerical approximation of semilinear PDEs with general time horizons. It is a key contribution of this article to extend the MLP approximation method to systems of semilinear PDEs and to numerically test it on several example PDEs. More specifically, we apply the proposed MLP approximation method in the case of Allen-Cahn PDEs, Sine-Gordon-type PDEs, systems of coupled semilinear heat PDEs, and semilinear Black-Scholes PDEs in up to 1000 dimensions. The presented numerical simulation results suggest in the case of each of these example PDEs that the proposed MLP approximation method produces very accurate results in short runtimes and, in particular, the presented numerical simulation results indicate that the proposed MLP approximation scheme significantly outperforms certain deep learning based approximation methods for high-dimensional semilinear PDEs.

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