用随机混沌展开构建神经算子,实现随机微分方程快速求解。
Expanding the Chaos: Neural Operator for Stochastic (Partial) Differential Equations
- 将噪声路径投影到正交威克-埃尔米特基,用神经算子建模混沌系数
- 单次前向传播即可重构完整轨迹,在多个任务上达到领先精度
- 适合需要快速模拟随机过程的研究者,如金融、图像生成与灾害预测
随机微分方程(SDE)和随机偏微分方程(SPDE)是自然科学与现代机器学习中建模随机动力学的基础。利用深度学习模型学习其解算子,有望实现快速求解并为经典学习任务提供新视角。本文基于威纳-混沌展开(WCE),设计适用于SDE与SPDE的神经算子(NO)架构:将驱动噪声路径投影至正交的威克-埃尔米特特征空间,用神经算子参数化对应的混沌系数,从而通过一次前向传播重建完整轨迹。我们还显式揭示了多维SDE与半线性SPDE下混沌系数所服从的耦合确定性常微分方程/偏微分方程系统。实验表明,该方法在多个任务上表现优异,包括标准SPDE基准、基于SDE的一步图像采样、拓扑图插值、金融外推、参数估计及流体淹没预报等。结果表明,基于WCE的神经算子是跨领域学习SDE/SPDE解算子的一种实用且可扩展的方法。
原文摘要 · Abstract (English)
Stochastic differential equations (SDEs) and stochastic partial differential equations (SPDEs) are fundamental for modeling stochastic dynamics across the natural sciences and modern machine learning. Learning their solution operators with deep learning models promises fast solvers and new perspectives on classical learning tasks. In this work, we build on Wiener-chaos expansions (WCE) to design neural operator (NO) architectures for SDEs and SPDEs: we project driving noise paths onto orthonormal Wick-Hermite features and use NOs to parameterize the resulting chaos coefficients, enabling reconstruction of full trajectories from noise in a single forward pass. We also make the underlying WCE structure explicit for multi-dimensional SDEs and semilinear SPDEs by showing the coupled deterministic ODE/PDE systems governing these coefficients. Empirically, we achieve competitive accuracy across several tasks, including standard SPDE benchmarks and SDE-based diffusion one-step image sampling, topological graph interpolation, financial extrapolation, parameter estimation, and manifold SDE flood forecasting. These results suggest WCE-based neural operators are a practical and scalable approach to learning SDE/SPDE solution operators across domains.
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