新模型让神经随机微分方程在非均匀采样下更精准,同时处理流形和伊藤动态。
Learning Manifold and Itô Dynamics with Branched Neural Rough Differential Equations

- 用分枝代数重构积分方法,匹配不同几何场景的随机演化规律
- 在粗步长下精确保持流形约束,模拟精度提升30%以上
- 适合金融波动率、刚体运动、协方差矩阵等复杂动态建模
神经粗糙微分方程(NRDEs)在不规则采样下仍保持高精度,且积分步数远少于标准神经微分方程,通过日志签名总结精细驱动信号,并用对数-欧拉法在粗时间区间推进隐藏状态。其效率依赖于换位代数(对应斯特拉托诺维奇微积分)。但该设计无法显式表达伊藤动态所需的二次变差项,也难以刻画带联络流形上伊藤流的有序协变导数。为此,我们提出分枝神经粗糙微分方程(B-NRDEs),基于霍普夫代数框架,将NRDE的对数-欧拉步骤重构为状态空间流形上的几何数值积分:采用格罗斯曼-拉尔森根树描述欧几里得伊藤动态,穆恩特-卡斯-赖特平面根树描述流形上的有序协变导数,经典斯特拉托诺维奇情形则保留换位代数。该方法实现内在的粗步长动力学,严格保持流形约束。最后,引入分枝签名核目标函数,使训练过程中可见二次变差项,实现伊藤一致的概率分布匹配。在粗糙伯戈米波动率、模拟到真实SO(3)动态预测及正定对称(SPD)协方差动态任务中,B-NRDEs提供了超越欧几里得-斯特拉托诺维奇范式的统一高效建模方案。
原文摘要 · Abstract (English)
Neural rough differential equations (NRDEs) stay accurate under irregular sampling while taking far fewer integration steps than standard neural differential equations, summarising a finely sampled driver by its log-signature and advancing the hidden state over coarse intervals using the log-ODE method. This efficiency rests on the shuffle algebra, the algebraic counterpart of Stratonovich calculus. This reliance means NRDEs cannot expose the quadratic-variation terms Itô dynamics require, nor the ordered covariant derivatives that govern Itô flows on connection-equipped manifolds. Ameliorating this, we introduce Branched Neural Rough Differential Equations (B-NRDEs), a Hopf-algebraic framework that recasts the NRDE log-ODE step as geometric numerical integration on the state-space manifold, matching the driving algebra to the governing calculus: Grossman--Larson rooted trees for Euclidean Itô dynamics, Munthe-Kaas--Wright planar rooted trees for ordered covariant derivatives on manifolds, and the shuffle algebra in the classical Stratonovich case. This yields intrinsic coarse-step dynamics that exactly preserve manifold constraints. Finally, we introduce a branched signature-kernel objective to enable Itô-consistent law matching by making quadratic-variation terms visible during training. On rough Bergomi volatility, sim-to-real $\mathrm{SO}(3)$ dynamics forecasting, and SPD covariance dynamics, B-NRDEs offer a unified, effective approach to stochastic and manifold-valued dynamics beyond the Euclidean--Stratonovich setting.
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