The curse-of-dimensionality (CoD) taxes computational resources heavily with exponentially increasing computational cost as the dimension increases. This poses great challenges in solving high-dimensional PDEs as Richard Bellman first pointed out over 60 years ago. While there has been some recent success in solving numerically partial differential equations (PDEs) in high dimensions, such computations are prohibitively expensive, and true scaling of general nonlinear PDEs to high dimensions has never been achieved. In this paper, we develop a new method of scaling up physics-informed neural networks (PINNs) to solve arbitrary high-dimensional PDEs. The new method, called Stochastic Dimension Gradient Descent (SDGD), decomposes a gradient of PDEs into pieces corresponding to different dimensions and samples randomly a subset of these dimensional pieces in each iteration of training PINNs. We theoretically prove the convergence guarantee and other desired properties of the proposed method. We experimentally demonstrate that the proposed method allows us to solve many notoriously hard high-dimensional PDEs, including the Hamilton-Jacobi-Bellman and the Schr\"{o}dinger equations in thousands of dimensions very fast on a single GPU using the PINNs mesh-free approach. For example, we solve nontrivial nonlinear PDEs (the HJB-Lin equation and the BSB equation) in 100,000 dimensions in 6 hours on a single GPU using SDGD with PINNs. Since SDGD is a general training methodology of PINNs, SDGD can be applied to any current and future variants of PINNs to scale them up for arbitrary high-dimensional PDEs.

开发了一种名为Stochastic Dimension Gradient Descent (SDGD)的新方法，用于扩展物理信息神经网络（PINNs）以解决任意高维PDEs，并理论上证明了其收敛性和其他所需属性。

利用物理知识驱动的神经网络解决维度灾难