Speaker: Arnulf Jentzen (CUHK & University of Münster )
Time: Oct 14, 2022, 15:00-16:00
Location: Tencent Meeting ID 940-538-096
Abstract：PDEs are among the most universal tools used in modelling problems in nature and man-made complex systems. Nearly all traditional approximation algorithms for PDEs in the literature suffer from the so-called “curse of dimensionality” in the sense that the number of required computational operations of the approximation algorithm to achieve a given approximation accuracy grows exponentially in the dimension of the considered PDE. With such algorithms, it is impossible to approximatively compute solutions of high-dimensional PDEs even when the fastest currently available computers are used. In the case of linear parabolic PDEs and approximations at a fixed space-time point, the curse of dimensionality can be overcome by means of Monte Carlo approximation algorithms and the Feynman-Kac formula. In the first part of this talk, we present an efficient machine learning algorithm to approximate solutions of high-dimensional PDE and we also prove that suitable deep neural network approximations do indeed overcome the curse of dimensionality in the case of a general class of semilinear parabolic PDEs. In the second part of the talk we present some recent mathematical results on the training of neural networks.