Base Models for Parabolic Partial Differential Equations

Xingzi Xu, Ali Hasan, Jie Ding, Vahid Tarokh

Keywords: partial differential equations, feynman-kac, parabolic, meta-learned

TL;DR: We describe a method for rapidly solving parabolic PDEs under for new parameters and boundary conditions using a learned base model.

Abstract:

Parabolic partial differential equations (PDEs) appear in many disciplines to model the evolution of various mathematical objects, such as probability flows, value functions in control theory, and derivative prices in finance.
It is often necessary to compute the solutions or a function of the solutions to a parametric PDE in multiple scenarios corresponding to different parameters of this PDE.
This process often requires resolving the PDEs from scratch, which is time-consuming.
To better employ existing simulations for the PDEs, we propose a framework for finding solutions to parabolic PDEs across different scenarios by meta-learning an underlying base distribution.%tasks.
We build upon this base distribution to propose a method for computing solutions to parametric PDEs under different parameter settings.
Finally, we illustrate the application of the proposed methods through extensive experiments in generative modeling, stochastic control, and finance.
The empirical results suggest that the proposed approach improves generalization to solving new PDEs.

List Of Authors: Xu, Xingzi and Hasan, Ali and Ding, Jie and Tarokh, Vahid

Submission Number: 227