arXiv:2506.21306math.NAcs.AI2025-06被引 1

用深度加权多项式逼近单边增长函数,精度远超传统方法。

Uniform Approximation of Functions with Asymmetric Growth and Decay by Deep Weighted Polynomials

  • 设计分层加权多项式模型,分离处理函数的生长与衰减特性。
  • 数值实验显示其在黑-斯科尔斯期权定价上误差更小,尾部逼近达机器精度。
  • 适合需要高精度逼近奇异函数的金融建模与科学计算场景。

在实数轴无界区间上,单边无界增长、另一边趋于零的函数无法被普通多项式一致逼近。受经典加权多项式逼近启发,本文提出一类单边加权的深度(复合)多项式近似器:权重抑制衰减侧的增长,复合多项式自由捕捉另一侧的生长。理论证明该机制将半线逼近问题转化为长度随阶数缓慢增长的紧区间逼近,并建立了模型类在适当闭包下的逼近密度与最优逼近存在性。计算方面,将方法构建为可训练的深度加权多项式计算图;但直接端到端优化在高阶时趋于病态且易陷局部极小。为此引入微调策略:固定内部单调多项式自映射的复合结构以确定有效阶数,仅训练外层多项式与权重参数,此时外层拟合退化为线性规划。对黑-斯科尔斯期权定价函数的数值实验表明,该微调加权深度多项式在相同预算下,均匀误差与 $L_2$ 误差均优于基线多项式,且能将衰减尾部逼近至机器精度。

原文摘要 · Abstract (English)

Functions that grow without bound on one side of the real line and decay to zero on the other cannot be approximated uniformly by ordinary polynomials on unbounded domains. Motivated by classical weighted polynomial approximation, we introduce a class of one-sided weighted \emph{deep} (composite) polynomial approximants for such asymmetric targets. The weight suppresses polynomial growth on the decaying side, while the composite polynomial remains free to capture growth on the other side. We prove that this mechanism reduces the half-line approximation problem to approximation on a compact interval whose length grows slowly with the degree, and we establish density and existence of best approximants in the appropriate closure of the model class. For computation, we first formulate the method as a trainable computational graph for \emph{deep} weighted polynomial approximation. However, direct end-to-end optimization becomes increasingly ill-conditioned at high composite degree and can suffer from local minima. To address this, we introduce a fine-tuning procedure in which a fixed inner composition of monotone polynomial self-maps supplies the effective degree, while only the outer polynomial and weight parameters are trained; the outer fit reduces to a linear program. Numerical experiments on Black--Scholes option-pricing functions show that the resulting fine-tuned weighted \emph{deep} polynomial achieves smaller uniform and \(L_2\) errors than matched-budget polynomial baselines and resolves the decaying tail to machine precision.

逼近理论深度学习金融建模加权多项式

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