A machine learning solver for high-dimensional integrals: Solving Kolmogorov PDEs by stochastic weighted minimization and stochastic gradient descent through a high-order weak approximation scheme of SDEs with Malliavin weights (2012.12346v6)

Abstract: The paper introduces a very simple and fast computation method for high-dimensional integrals to solve high-dimensional Kolmogorov partial differential equations (PDEs). The new machine learning-based method is obtained by solving a stochastic weighted minimization with stochastic gradient descent which is inspired by a high-order weak approximation scheme for stochastic differential equations (SDEs) with Malliavin weights. Then solutions to high-dimensional Kolmogorov PDEs or expectations of functionals of solutions to high-dimensional SDEs are accurately approximated without suffering from the curse of dimensionality. Numerical examples for PDEs and SDEs up to 100 dimensions are shown by using second and third-order discretization schemes in order to demonstrate the effectiveness of our method.