Uniform error estimates for artificial neural network approximations for heat equations

Abstract

Recently, artificial neural networks (ANNs) in conjunction with stochastic gradient descent optimization methods have been employed to approximately compute solutions of possibly rather high-dimensional partial differential equations (PDEs). Very recently, there have also been a number of rigorous mathematical results in the scientific literature which examine the approximation capabilities of such deep learning based approximation algorithms for PDEs. These mathematical results from the scientific literature prove in part that algorithms based on ANNs are capable of overcoming the curse of dimensionality in the numerical approximation of high-dimensional PDEs. In these mathematical results from the scientific literature usually the error between the solution of the PDE and the approximating ANN is measured in the $L^p$-sense with respect to some $p\in [1,\infty )$ and some probability measure. In many applications it is, however, also important to control the error in a uniform $L^{\infty }$-sense. The key contribution of the main result of this article is to develop the techniques to obtain error estimates between solutions of PDEs and approximating ANNs in the uniform $L^{\infty }$-sense. In particular, we prove that the number of parameters of an ANN to uniformly approximate the classical solution of the heat equation in a region $[a,b{]}^d$ for a fixed time point $T\in (0,\infty )$ grows at most polynomially in the dimension $d\in \mathbb{N}$ and the reciprocal of the approximation precision $\epsilon >0$. This shows that ANNs can overcome the curse of dimensionality in the numerical approximation of the heat equation when the error is measured in the uniform $L^{\infty }$-norm.

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• Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
• High-dimensional approximation spaces of artificial neural networks and applications to partial differential equations
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