A Deep Neural Network Surrogate for High-Dimensional Random Partial Differential Equations
share
Developing efficient numerical algorithms for high dimensional random Partial Differential Equations (PDEs) has been a challenging task due to the well-known curse of dimensionality problem. We present a new framework for solving high-dimensional PDEs characterized by random parameters based on a deep learning approach. The random PDE is approximated by a feed-forward fully-connected deep neural network, with either strong or weak enforcement of initial and boundary constraints. The framework is mesh-free, and can handle irregular computational domains. Parameters of the approximating deep neural network are determined iteratively using variants of the Stochastic Gradient Descent (SGD) algorithm, which removes the memory issues that some existing algorithms for random PDEs are currently experiencing. The performance of the proposed framework in accurate estimation of solution to random PDEs is examined by implementing it for diffusion and heat conduction problems. Results are compared with the sampling-based finite element results, and suggest that the proposed framework achieves satisfactory accuracy and can handle high-dimensional random PDEs. A discussion on the advantages of the proposed method is also provided.
READ FULL TEXT