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Learning High-Dimensional McKean-Vlasov Forward-Backward Stochastic Differential Equations with General Distribution Dependence

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arXiv 2022年

作者： Han, Jiequn Hu, Ruimeng Long, Jihao Center for Computational Mathematics Flatiron Institute New YorkNY10010 United States Department of Mathematics Department of Statistics and Applied Probability University of California Santa BarbaraCA93106-3080 United States The Program in Applied and Computational Mathematics Princeton University PrincetonNJ08544-1000 United States

One of the core problems in mean-field control and mean-field games is to solve the corresponding McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs). Most existing methods are tailored to special cases in which the mean-field interaction only depends on expectation or other moments and thus is inadequate to solve problems when the mean-field interaction has full distribution dependence. In this paper, we propose a novel deep learning method for computing MV-FBSDEs with a general form of mean-field interactions. Specifically, built on fictitious play, we recast the problem into repeatedly solving standard FBSDEs with explicit coefficient functions. These coefficient functions are used to approximate the MV-FBSDEs’ model coefficients with full distribution dependence, and are updated by solving another supervising learning problem using training data simulated from the last iteration’s FBSDE solutions. We use deep neural networks to solve standard BSDEs and approximate coefficient functions in order to solve high-dimensional MV-FBSDEs. Under proper assumptions on the learned functions, we prove that the convergence of the proposed method is free of the curse of dimensionality (CoD) by using a class of integral probability metrics (IPMs) previously developed in [Han, Hu and Long, arXiv:2104.12036]. The proved theorem shows the advantage of the method in high dimensions. We present the numerical performance in high-dimensional MV-FBSDE problems, including a mean-field game example of the well-known Cucker-Smale model whose cost depends on the full distribution of the forward *** Codes 65C30, 68T07, 49N80, 68Q25 © 2022, CC BY.

关键词： Stochastic systems

STEFAN PROBLEM WITH SURFACE TENSION: GLOBAL EXISTENCE OF PHYSICAL SOLUTIONS UNDER RADIAL SYMMETRY

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arXiv 2022年

作者： Nadtochiy, Sergey Shkolnikov, Mykhaylo Department of Applied Mathematics Illinois Institute of Technology ChicagoIL60616 United States ORFE Department Bendheim Center for Finance Program in Applied & Computational Mathematics Princeton University Princeton NJ08544 United States

We consider the Stefan problem with surface tension, also known as the Stefan-Gibbs-Thomson problem, in an ambient space of arbitrary dimension. Assuming the radial symmetry of the initial data we introduce a novel "probabilistic" notion of solution, which can accommodate the discontinuities in time (of the radius) of the evolving aggregate. Our main result establishes the global existence of a probabilistic solution satisfying the natural upper bound on the sizes of the discontinuities. Moreover, we prove that the upper bound is sharp in dimensions d ⩾ 3, in the sense that none of the discontinuities in the solution can be decreased in magnitude. The detailed analysis of the discontinuities, via appropriate stochastic representations, differentiates this work from the previous literature on weak solutions to the Stefan problem with surface *** Codes 80A22, 60H30, 35B44 Copyright © 2022, The Authors. All rights reserved.

关键词： Surface tension

Deep neural network for Wannier function centers

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arXiv 2019年

作者： Zhang, Linfeng Chen, Mohan Wu, Xifan Wang, Han Weinan, E. Car, Roberto Program in Applied and Computational Mathematics Princeton University PrincetonNJ08544 United States CAPT HEDPS College of Engineering Peking University Beijing100871 China Department of Physics Temple University PhiladelphiaPA19122 United States Laboratory of Computational Physics Institute of Applied Physics and Computational Mathematics Huayuan Road 6 Beijing100088 China Department of Mathematics and Program in Applied and Computational Mathematics Princeton University PrincetonNJ08544 United States Beijing Institute of Big Data Research Beijing100871 China Department of Chemistry Department of Physics Program in Applied and Computational Mathematics Princeton Institute for the Science and Technology of Materials Princeton University PrincetonNJ08544 United States

We introduce a deep neural network (DNN) model that assigns the position of the centers of the electronic charge in the snapshots of a molecular dynamics trajectory. The electronic centers are uniquely specified by the unitary transformation that maps the occupied eigenstates onto maximally localized Wannier functions. In combination with deep potential molecular dynamics, a DNN approach to model the atomic potential energy surface at the ab initio density functional level of theory, the scheme makes possible to predict the dielectric properties of insulators for samples and trajectories inaccessible to direct ab initio simulation, without loss of accuracy. As an example, we report calculations of the infrared absorption spectra of light and heavy water at a dispersion inclusive hybrid functional level of theory, finding good agreement with experiment. Extensions to other spectroscopies, like Raman and sum frequency generation, are discussed. Copyright © 2019, The Authors. All rights reserved.

关键词： Quantum chemistry

Multi-target detection with application to cryo-electron microscopy

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arXiv 2019年

作者： Bendory, Tamir Boumal, Nicolas Leeb, William Levin, Eitan Singer, Amit Program in Applied and Computational Mathematics Princeton University PrincetonNJ United States Department of Mathematics Princeton University PrincetonNJ United States School of Mathematics University of Minnesota MinneapolisMN United States

We consider the multi-target detection problem of recovering a set of signals that appear multiple times at unknown locations in a noisy measurement. In the low noise regime, one can estimate the signals by first detecting occurrences, then clustering and averaging them. In the high noise regime, however, neither detection nor clustering can be performed reliably, so that strategies along these lines are destined to fail. Notwithstanding, using autocorrelation analysis, we show that the impossibility to detect and cluster signal occurrences in the presence of high noise does not necessarily preclude signal estimation. Specifically, to estimate the signals, we derive simple relations between the autocorrelations of the observation and those of the signals. These autocorrelations can be estimated accurately at any noise level given a sufficiently long measurement. To recover the signals from the observed autocorrelations, we solve a set of polynomial equations through nonlinear least-squares. We provide analysis regarding well-posedness of the task, and demonstrate numerically the effectiveness of the method in a variety of settings. The main goal of this work is to provide theoretical and numerical support for a recently proposed framework to image 3-D structures of biological macromolecules using cryo-electron microscopy in extreme noise levels. Copyright © 2019, The Authors. All rights reserved.

关键词： Autocorrelation

Applications of mean field games in financial engineering and economic theory

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arXiv 2020年

作者： Carmona, René DEPARTMENT OF OPERATIONS RESEARCH & FINANCIAL ENGINEERING BENDHEIM CENTER FOR FINANCE PROGRAM IN APPLIED & COMPUTATIONAL MATHEMATICS PRINCETON UNIVERSITY United States

This is an expanded version of the lecture given at the AMS Short Course on Mean Field Games, on January 13, 2020 in Denver CO. The assignment was to discuss applications of Mean Field Games in finance and economics. I need to admit upfront that several of the examples reviewed in this chapter were already discussed in book form. Still, they are here accompanied with discussions of, and references to, works which appeared over the last three years. Moreover, several completely new sections are added to show how recent developments in financial engineering and economics can benefit from being viewed through the lens of the Mean Field Game paradigm. The new financial engineering applications deal with bitcoin mining and the energy markets, while the new economic applications concern models offering a smooth transition between macro-economics and finance, and contract *** Codes 60, 91 © 2020, CC BY.

关键词： Finance

STEFAN PROBLEM WITH SURFACE TENSION: UNIQUENESS OF PHYSICAL SOLUTIONS UNDER RADIAL SYMMETRY

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arXiv 2023年

作者： Guo, Yucheng Nadtochiy, Sergey Shkolnikov, Mykhaylo Department of Applied Mathematics Illinois Institute of Technology ChicagoIL60616 United States ORFE Department Bendheim Center for Finance Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States

We study the Stefan problem with surface tension and radially symmetric initial data. In this context, the notion of a so-called physical solution, which exists globally despite the inherent blow-ups of the melting rate, has been recently introduced in [NS23]. The paper at hand is devoted to the proof that the physical solution is unique, the first such result when the free boundary is not flat, or when two phases are present. The main argument relies on a detailed analysis of the hitting probabilities for a three-dimensional Brownian motion, as well as on a novel convexity property of the free boundary obtained by comparison techniques. In the course of the proof, we establish a wide variety of regularity estimates for the free boundary and for the temperature function, of interest in their own *** Codes 80A22, 35B44, 60H30, 35B05 Copyright © 2023, The Authors. All rights reserved.

关键词： Surface tension

Deuteration removes quantum dipolar defects from KDP crystals

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arXiv 2024年

作者： Yang, Bingjia Xie, Pinchen Car, Roberto Department of Chemistry Princeton University PrincetonNJ08544 United States Program in Applied and Computational Mathematics Princeton University PrincetonNJ08544 United States Department of Chemistry Department of Physics Program in Applied and Computational Mathematics Princeton Materials Institute Princeton University PrincetonNJ08544 United States

The structural, dielectric, and thermodynamic properties of the hydrogen-bonded ferroelectric crystal potassium dihydrogen phosphate (KH2PO4), KDP for short, differ significantly from those of DKDP (KD2PO4) [1, 2]. It is well established that deuteration affects the interplay of hydrogen-bond switches and heavy ion displacements that underlie the emergence of macroscopic polarization, but a detailed microscopic model is missing [3, 4]. Here we show that all-atom path integral molecular dynamics simulations can predict the isotope effects, revealing the microscopic mechanism that differentiates KDP and DKDP. Proton tunneling in the hydrogen bonds generates phosphate configurations that do not contribute to the polarization. These dipolar defects are always present in KDP, but disappear at low temperatures in DKDP, which behaves more classically. Quantum disorder confers residual entropy to ferroelectric KDP, explaining its lower spontaneous polarization and transition entropy relative to DKDP. Tunneling should also contribute to the anomalous heat capacity observed in KDP near absolute zero [5, 6]. The prominent role of quantum fluctuations in KDP is related to the unusual strength of the hydrogen bonds in this system and should be equally important in the other crystals of the KDP family, which exhibit similar isotope effects [7]. © 2024, CC BY.

关键词： Hydrogen bonds

A Stochastic Approximate Expectation-Maximization for Structure Determination Directly from Cryo-EM Micrographs

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arXiv 2023年

作者： Kreymer, Shay Singer, Amit Bendory, Tamir The School of Electrical Engineering Tel Aviv University Tel Aviv Israel The Department of Mathematics and Program in Applied and Computational Mathematics Princeton University PrincetonNJ08544 United States

A single-particle cryo-electron microscopy (cryoEM) measurement, called a micrograph, consists of multiple two-dimensional tomographic projections of a three-dimensional molecular structure at unknown locations, taken under unknown viewing directions. All existing cryo-EM algorithmic pipelines first locate and extract the projection images, and then reconstruct the structure from the extracted images. However, if the molecular structure is small, the signal-to-noise ratio (SNR) of the data is very low, and thus accurate detection of projection images within the micrograph is challenging. Consequently, all standard techniques fail in low-SNR regimes. To recover molecular structures from measurements of low SNR, and in particular small molecular structures, we devise a stochastic approximate expectation-maximization algorithm to estimate the three-dimensional structure directly from the micrograph, bypassing locating the projection images. We corroborate our computational scheme with numerical experiments, and present successful structure recoveries from simulated noisy measurements. © 2023, CC BY.

关键词： Molecular structure

Scaling limits of external multi-particle DLA on the plane and the supercooled stefan problem

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arXiv 2021年

作者： Nadtochiy, Sergey Shkolnikov, Mykhaylo Zhang, Xiling Department of Applied Mathematics Illinois Institute of Technology ChicagoIL60616 United States ORFE Department Bendheim Center for Finance Program in Applied & Computational Mathematics Princeton University PrincetonNJ08544 United States

We consider (a variant of) the external multi-particle diffusion-limited aggregation (MDLA) process of Rosenstock and Marquardt on the plane. Based on the recent findings of [11], [10] in one space dimension it is natural to conjecture that the scaling limit of the growing aggregate in such a model is given by the growing solid phase in a suitable "probabilistic" formulation of the single-phase supercooled Stefan problem for the heat equation. To address this conjecture, we extend the probabilistic formulation from [10] to multiple space dimensions. We then show that the equation that characterizes the growth rate of the solid phase in the supercooled Stefan problem is satisfied by the scaling limit of the external MDLA process with an inequality, which can be strict in general. In the course of the proof, we establish two additional results interesting in their own right: (i) the stability of a "crossing property" of planar Brownian motion and (ii) a rigorous connection between the probabilistic solutions to the supercooled Stefan problem and its classical and weak *** Codes 82C22, 80A22, 60H30 Copyright © 2021, The Authors. All rights reserved.

关键词： Supercooling