DGM: A deep learning algorithm for solving partial differential equations
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High-dimensional PDEs have been a longstanding computational challenge. We propose to solve high-dimensional PDEs by approximating the solution with a deep neural network which is trained to satisfy the differential operator, initial condition, and boundary conditions. We prove that the neural network converges to the solution of the partial differential equation as the number of hidden units increases. Our algorithm is meshfree, which is key since meshes become infeasible in higher dimensions. Instead of forming a mesh, the neural network is trained on batches of randomly sampled time and space points. We implement the approach for American options (a type of free-boundary PDE which is widely used in finance) in up to 200 dimensions. We call the algorithm a "Deep Galerkin Method (DGM)" since it is similar in spirit to Galerkin methods, with the solution approximated by a neural network instead of a linear combination of basis functions.
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