Numerical solution of ruin probability of continuous time model based on optimal adaptive particle swarm optimization-triangular neural network algorithm

Yiming Xu, Xinyue Fan, Yunlei Yang, Jia Wu

Abstract: In this paper, we study numerical solution of ruin probability of continuous time model. We develop an effective optimal adaptive particle swarm optimization-triangular neural network (PSO-TNN), which consists of three parts: particle swarm optimization algorithm (PSO) improved trigonometric function, extreme learning machine algorithm with initial conditions (IELM) and improved reduction algorithm. The results obtained that PSO-TNN is superior to triangular neural network (TNN) and physics-informed neural networks (PINNs), and PSO is superior to Aquila Optimizer (AO), Smell Agent Optimization (SAO), African vultures optimization algorithm (AVOA), Arithmetic optimization algorithm (AOA) in the optimization of neural network. Because the relationship between the number of neural networks and the mean square error is uncertain, we propose the adaptive reduction algorithm (AR). Through the comparison of numerical solutions with the analytical solutions and traditional numerical solutions, the PSO-TNN algorithm clearly reduced the mean square error and relative error. The PSO-TNN algorithm shows a clear improvement in terms of accuracy and overall efficiency.