Grupo de lectura: Deep Learning para Ecuaciones Diferenciales Parciales

Este grupo de lectura, organizado en conjunto con académicos e investigadores en Ecuaciones Diferenciales Parciales y Machine Learning de la Universidad de Chile, tiene el objetivo de aprender juntos sobre temas de investigación en Machine Learning para resolver ecuaciones.

Nos reunimos los jueves a las 12:00 por zoom.
 

2020-10-01
12:00hrs.
Nicolas Valenzuela. Uchile
Sobre "Solving high-dimensional partial differential equations using deep learning", de Jiequn Han, Arnulf Jentzen, y Weinan E (parte 2)
https://uchile.zoom.us/j/89083121892?pwd=cHovbUhRalBHelpqckpyU3NXZnQwQT09 (pedir pass a Mircea Petrache)
Abstract:
"Developing algorithms for solving high-dimensional partial differential equations (PDEs) has been an exceedingly difficult task for a long time, due to the notoriously difficult problem known as the “curse of dimensionality.” This paper introduces a deep learning-based approach that can handle general high-dimensional parabolic PDEs. To this end, the PDEs are reformulated using backward stochastic differential equations and the gradient of the unknown solution is approximated by neural networks, very much in the spirit of deep reinforcement learning with the gradient acting as the policy function. Numerical results on examples including the nonlinear Black–Scholes equation, the Hamilton–Jacobi–Bellman equation, and the Allen–Cahn equation suggest that the proposed algorithm is quite effective in high dimensions, in terms of both accuracy and cost. This opens up possibilities in economics, finance, operational research, and physics, by considering all participating agents, assets, resources, or particles together at the same time, instead of making ad hoc
assumptions on their interrelationships"
2020-09-24
12:30hrs.
Claudio Munoz. Uchile
Sobre "Solving High-Dimensional Partial Differential Equations Using Deep Learning", de Jiequn Han, Arnulf Jentzen, y Weinan e (Parte 1)
https://uchile.zoom.us/j/89083121892?pwd=cHovbUhRalBHelpqckpyU3NXZnQwQT09 (pedir pass a Mircea Petrache)
Abstract:
"Developing algorithms for solving high-dimensional partial differential equations (PDEs) has been an exceedingly difficult task for a long time, due to the notoriously difficult problem known as the “curse of dimensionality.” This paper introduces a deep learning-based approach that can handle general high-dimensional parabolic PDEs. To this end, the PDEs are reformulated using backward stochastic differential equations and the gradient of the unknown solution is approximated by neural networks, very much in the spirit of deep reinforcement learning with the gradient acting as the policy function. Numerical results on examples including the nonlinear Black–Scholes equation, the Hamilton–Jacobi–Bellman equation, and the Allen–Cahn equation suggest that the proposed algorithm is quite effective in high dimensions, in terms of both accuracy and cost. This opens up possibilities in economics, finance, operational research, and physics, by considering all participating agents, assets, resources, or particles together at the same time, instead of making ad hoc
assumptions on their interrelationships."