IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v202y2022icp331-342.html
   My bibliography  Save this article

Solving flows of dynamical systems by deep neural networks and a novel deep learning algorithm

Author

Listed:
  • Liao, Guangyuan
  • Zhang, Limin

Abstract

Machine learning becomes popular and is used for a wide range of problems in various areas of applied sciences. In dynamical systems, machine learning methods are applied to solve differential equations. In this paper, we develop an artificial network to solve systems of ordinary differential equations. For the network, we use a multilayer perceptron networks, which is a fully connected feedforward network to predict the flow of a specific system. In order to improve the long time estimation of the method, we introduced an upper bound control strategy. To deal with stiff ODE systems(such as slow-fast coupled system), a new algorithm, Finite Neural Element method, is introduced. By numerical simulation, the novel algorithm is proved to have better efficiency and accuracy than direct machine learning method.

Suggested Citation

  • Liao, Guangyuan & Zhang, Limin, 2022. "Solving flows of dynamical systems by deep neural networks and a novel deep learning algorithm," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 202(C), pages 331-342.
  • Handle: RePEc:eee:matcom:v:202:y:2022:i:c:p:331-342
    DOI: 10.1016/j.matcom.2022.06.004
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378475422002592
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.matcom.2022.06.004?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Justin Sirignano & Konstantinos Spiliopoulos, 2017. "DGM: A deep learning algorithm for solving partial differential equations," Papers 1708.07469, arXiv.org, revised Sep 2018.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wu, Dawen & Lisser, Abdel, 2024. "Solving Constrained Pseudoconvex Optimization Problems with deep learning-based neurodynamic optimization," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 219(C), pages 424-434.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kristina O. F. Williams & Benjamin F. Akers, 2023. "Numerical Simulation of the Korteweg–de Vries Equation with Machine Learning," Mathematics, MDPI, vol. 11(13), pages 1-14, June.
    2. William Lefebvre & Enzo Miller, 2021. "Linear-quadratic stochastic delayed control and deep learning resolution," Working Papers hal-03145949, HAL.
    3. Zhouzhou Gu & Mathieu Lauri`ere & Sebastian Merkel & Jonathan Payne, 2024. "Global Solutions to Master Equations for Continuous Time Heterogeneous Agent Macroeconomic Models," Papers 2406.13726, arXiv.org.
    4. Parand, K. & Aghaei, A.A. & Jani, M. & Ghodsi, A., 2021. "A new approach to the numerical solution of Fredholm integral equations using least squares-support vector regression," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 180(C), pages 114-128.
    5. William Lefebvre & Enzo Miller, 2021. "Linear-quadratic stochastic delayed control and deep learning resolution," Papers 2102.09851, arXiv.org, revised Feb 2021.
    6. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2022. "Deep Stochastic Optimization in Finance," Papers 2205.04604, arXiv.org.
    7. Sebastian Jaimungal, 2022. "Reinforcement learning and stochastic optimisation," Finance and Stochastics, Springer, vol. 26(1), pages 103-129, January.
    8. Shuaiqiang Liu & Cornelis W. Oosterlee & Sander M. Bohte, 2019. "Pricing Options and Computing Implied Volatilities using Neural Networks," Risks, MDPI, vol. 7(1), pages 1-22, February.
    9. Bastien Baldacci & Joffrey Derchu & Iuliia Manziuk, 2020. "An approximate solution for options market-making in high dimension," Papers 2009.00907, arXiv.org.
    10. Alexandre Pannier & Cristopher Salvi, 2024. "A path-dependent PDE solver based on signature kernels," Papers 2403.11738, arXiv.org, revised Oct 2024.
    11. Rong Du & Duy-Minh Dang, 2023. "Fourier Neural Network Approximation of Transition Densities in Finance," Papers 2309.03966, arXiv.org, revised Sep 2024.
    12. Ali Al-Aradi & Adolfo Correia & Danilo de Frietas Naiff & Gabriel Jardim & Yuri Saporito, 2019. "Extensions of the Deep Galerkin Method," Papers 1912.01455, arXiv.org, revised Apr 2022.
    13. Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada, 2021. "Deep Asymptotic Expansion: Application to Financial Mathematics," CIRJE F-Series CIRJE-F-1178, CIRJE, Faculty of Economics, University of Tokyo.
    14. Martin Hutzenthaler & Arnulf Jentzen & Thomas Kruse & Tuan Anh Nguyen, 2020. "A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations," Partial Differential Equations and Applications, Springer, vol. 1(2), pages 1-34, April.
    15. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen, 2020. "Pricing and Hedging American-Style Options with Deep Learning," JRFM, MDPI, vol. 13(7), pages 1-12, July.
    16. Salah A. Faroughi & Ramin Soltanmohammadi & Pingki Datta & Seyed Kourosh Mahjour & Shirko Faroughi, 2023. "Physics-Informed Neural Networks with Periodic Activation Functions for Solute Transport in Heterogeneous Porous Media," Mathematics, MDPI, vol. 12(1), pages 1-23, December.
    17. Jiequn Han & Ruimeng Hu & Jihao Long, 2020. "Convergence of Deep Fictitious Play for Stochastic Differential Games," Papers 2008.05519, arXiv.org, revised Mar 2021.
    18. Lukas Gonon, 2024. "Deep neural network expressivity for optimal stopping problems," Finance and Stochastics, Springer, vol. 28(3), pages 865-910, July.
    19. William Lefebvre & Gr'egoire Loeper & Huy^en Pham, 2022. "Differential learning methods for solving fully nonlinear PDEs," Papers 2205.09815, arXiv.org.
    20. Dehghani, Hamidreza & Zilian, Andreas, 2021. "A hybrid MGA-MSGD ANN training approach for approximate solution of linear elliptic PDEs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 190(C), pages 398-417.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:202:y:2022:i:c:p:331-342. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.