Neural Galerkin Scheme with Active Learning for High-Dimensional Evolution Equations
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Machine learning methods have been shown to give accurate predictions in high dimensions provided that sufficient training data are available. Yet, many interesting questions in science and engineering involve situations where initially no data are available and the principal aim is to gather insights from a known model. Here we consider this problem in the context of systems whose evolution can be described by partial differential equations (PDEs). We use deep learning to solve these equations by generating data on-the-fly when and where they are needed, without prior information about the solution. The proposed Neural Galerkin schemes derive nonlinear dynamical equations for the network weights by minimization of the residual of the time derivative of the solution, and solve these equations using standard integrators for initial value problems. The sequential learning of the weights over time allows for adaptive collection of new input data for residual estimation. This step uses importance sampling informed by the current state of the solution, in contrast with other machine learning methods for PDEs that optimize the network parameters globally in time. This active form of data acquisition is essential to enable the approximation power of the neural networks and to break the curse of dimensionality faced by non-adaptative learning strategies. The applicability of the method is illustrated on several numerical examples involving high-dimensional PDEs, including advection equations with many variables, as well as Fokker-Planck equations for systems with several interacting particles.
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