The DeepBSDE algorithm

Problems Supported:

1. ParabolicPDEProblem

The general idea 💡

The DeepBSDE algorithm is similar in essence to the DeepSplitting algorithm, with the difference that it uses two neural networks to approximate both the the solution and its gradient.

References

• Han, J., Jentzen, A., E, W., Solving high-dimensional partial differential equations using deep learning. arXiv (2018)