无需训练即可快速模拟参数依赖的随机系统,支持任意参数值采样。
Training-free score-based diffusion for parameter-dependent stochastic dynamical systems
- 基于轨迹数据的联合核加权估计器,直接计算条件得分函数。
- 在三个复杂案例中准确逼近不同参数下的条件分布。
- 适合需要快速参数扫描或实时滤波的应用场景。
参数依赖的随机微分方程(SDE)模拟面临巨大计算挑战,通常需对每个参数值单独进行高保真模拟。尽管机器学习在建模SDE动态方面取得成功,现有方法要么需为得分函数估计付出高昂神经网络训练成本,要么无法处理连续参数依赖。本文提出一种无需训练的条件扩散模型框架,用于学习参数依赖SDE的随机流映射,其中漂移与扩散系数均依赖物理参数。关键技术在于设计了一种联合核加权蒙特卡洛估计器,利用离散参数值处采样的轨迹数据,实现状态空间与连续参数域的插值。模型训练完成后,可对训练范围内任意参数值生成样本轨迹而无需重新训练,显著加速参数研究、不确定性量化及实时滤波应用。通过三个复杂度递增的数值实验验证了该方法的有效性,结果表明其能在不同参数值下准确逼近条件分布。
原文摘要 · Abstract (English)
Simulating parameter-dependent stochastic differential equations (SDEs) presents significant computational challenges, as separate high-fidelity simulations are typically required for each parameter value of interest. Despite the success of machine learning methods in learning SDE dynamics, existing approaches either require expensive neural network training for score function estimation or lack the ability to handle continuous parameter dependence. We present a training-free conditional diffusion model framework for learning stochastic flow maps of parameter-dependent SDEs, where both drift and diffusion coefficients depend on physical parameters. The key technical innovation is a joint kernel-weighted Monte Carlo estimator that approximates the conditional score function using trajectory data sampled at discrete parameter values, enabling interpolation across both state space and the continuous parameter domain. Once trained, the resulting generative model produces sample trajectories for any parameter value within the training range without retraining, significantly accelerating parameter studies, uncertainty quantification, and real-time filtering applications. The performance of the proposed approach is demonstrated via three numerical examples of increasing complexity, showing accurate approximation of conditional distributions across varying parameter values.
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