Score-Based Physics-Informed Neural Networks for High-Dimensional Fokker-Planck Equations

TL;DR

This paper introduces a score-based neural network method to efficiently solve high-dimensional Fokker-Planck equations, overcoming the curse of dimensionality and improving accuracy and speed over traditional approaches.

Contribution

The paper proposes a novel score-based approach with three fitting methods to solve high-dimensional FP equations, addressing limitations of existing PINNs and Monte Carlo methods.

Findings

Score-based solver demonstrates stability and high accuracy.

Method achieves faster sampling compared to Monte Carlo.

Effective across various SDEs and distributions.

Abstract

The Fokker-Planck (FP) equation is a foundational PDE in stochastic processes. However, curse of dimensionality (CoD) poses challenge when dealing with high-dimensional FP PDEs. Although Monte Carlo and vanilla Physics-Informed Neural Networks (PINNs) have shown the potential to tackle CoD, both methods exhibit numerical errors in high dimensions when dealing with the probability density function (PDF) associated with Brownian motion. The point-wise PDF values tend to decrease exponentially as dimension increases, surpassing the precision of numerical simulations and resulting in substantial errors. Moreover, due to its massive sampling, Monte Carlo fails to offer fast sampling. Modeling the logarithm likelihood (LL) via vanilla PINNs transforms the FP equation into a difficult HJB equation, whose error grows rapidly with dimension. To this end, we propose a novel approach utilizing a score-based solver to fit the score function in SDEs. The score function, defined as the gradient of the LL, plays a fundamental role in inferring LL and PDF and enables fast SDE sampling. Three fitting methods, Score Matching (SM), Sliced SM (SSM), and Score-PINN, are introduced. The proposed score-based SDE solver operates in two stages: first, employing SM, SSM, or Score-PINN to acquire the score; and second, solving the LL via an ODE using the obtained score. Comparative evaluations across these methods showcase varying trade-offs. The proposed method is evaluated across diverse SDEs, including anisotropic OU processes, geometric Brownian, and Brownian with varying eigenspace. We also test various distributions, including Gaussian, Log-normal, Laplace, and Cauchy. The numerical results demonstrate the score-based SDE solver's stability, speed, and performance across different settings, solidifying its potential as a solution to CoD for high-dimensional FP equations.