Deep learning-based numerical schemes for solving high-dimensional backward stochastic differential equations (BSDEs) have recently raised plenty of scientific interest. While they enable numerical methods to approximate very high-dimensional BSDEs, their reliability has not been studied and is thus not understood. In this work, we study uncertainty quantification (UQ) for a class of deep learning-based BSDE schemes. More precisely, we review the sources of uncertainty involved in the schemes and numerically study the impact of different sources. Usually, the standard deviation (STD) of the approximate solutions obtained from multiple runs of the algorithm with different datasets is calculated to address the uncertainty. This approach is computationally quite expensive, especially for high-dimensional problems. Hence, we develop a UQ model that efficiently estimates the STD of the approximate solution using only a single run of the algorithm. The model also estimates the mean of the approximate solution, which can be leveraged to initialize the algorithm and improve the optimization process. Our numerical experiments show that the UQ model produces reliable estimates of the mean and STD of the approximate solution for the considered class of deep learning-based BSDE schemes. The estimated STD captures multiple sources of uncertainty, demonstrating its effectiveness in quantifying the uncertainty. Additionally, the model illustrates the improved performance when comparing different schemes based on the estimated STD values. Furthermore, it can identify hyperparameter values for which the scheme achieves good approximations.

本研究探讨了基于深度学习的数值方案用于解决高维反向随机微分方程（BSDE）的可靠性，并提出了一种有效估计近似解的标准差和均值的新的不确定性量化（UQ）模型，证明其在估计不确定性和性能比较方面的有效性。

求解高维反向随机微分方程的基于深度学习的方案的不确定度量化