Deep splitting method for parabolic PDEs

• Main Authors: Beck, Christian, Becker, Sebastian, Cheridito, Patrick, Jentzen, Arnulf, Neufeld, Ariel
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Science::Mathematics; Nonlinear Partial Differential Equations; Splitting-Up Method
• Online Access: https://hdl.handle.net/10356/153744
• Institution: Nanyang Technological University

In this paper we introduce a numerical method for nonlinear parabolic PDEs that combines operator splitting with deep learning. It divides the PDE approximation problem into a sequence of separate learning problems. Since the computational graph for each of the subproblems is comparatively small,...