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Mathematical Introduction to Deep Learning: Methods, Implementations, and Theory
Oct 31, 2023
This book aims to provide an introduction to the topic of deep learning algorithms. We review essential components of deep learning algorithms in full mathematical detail including different artificial neural network (ANN) architectures (such as fully-connected feedforward ANNs, convolutional ANNs, recurrent ANNs, residual ANNs, and ANNs with batch normalization) and different optimization algorithms (such as the basic stochastic gradient descent (SGD) method, accelerated methods, and adaptive methods). We also cover several theoretical aspects of deep learning algorithms such as approximation capacities of ANNs (including a calculus for ANNs), optimization theory (including Kurdyka-{\L}ojasiewicz inequalities), and generalization errors. In the last part of the book some deep learning approximation methods for PDEs are reviewed including physics-informed neural networks (PINNs) and deep Galerkin methods. We hope that this book will be useful for students and scientists who do not yet have any background in deep learning at all and would like to gain a solid foundation as well as for practitioners who would like to obtain a firmer mathematical understanding of the objects and methods considered in deep learning.
Algorithmically Designed Artificial Neural Networks (ADANNs): Higher order deep operator learning for parametric partial differential equations
Feb 07, 2023
In this article we propose a new deep learning approach to solve parametric partial differential equations (PDEs) approximately. In particular, we introduce a new strategy to design specific artificial neural network (ANN) architectures in conjunction with specific ANN initialization schemes which are tailor-made for the particular scientific computing approximation problem under consideration. In the proposed approach we combine efficient classical numerical approximation techniques such as higher-order Runge-Kutta schemes with sophisticated deep (operator) learning methodologies such as the recently introduced Fourier neural operators (FNOs). Specifically, we introduce customized adaptions of existing standard ANN architectures together with specialized initializations for these ANN architectures so that at initialization we have that the ANNs closely mimic a chosen efficient classical numerical algorithm for the considered approximation problem. The obtained ANN architectures and their initialization schemes are thus strongly inspired by numerical algorithms as well as by popular deep learning methodologies from the literature and in that sense we refer to the introduced ANNs in conjunction with their tailor-made initialization schemes as Algorithmically Designed Artificial Neural Networks (ADANNs). We numerically test the proposed ADANN approach in the case of some parametric PDEs. In the tested numerical examples the ADANN approach significantly outperforms existing traditional approximation algorithms as well as existing deep learning methodologies from the literature.
A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations
Sep 07, 2018Artificial neural networks (ANNs) have very successfully been used in numerical simulations for a series of computational problems ranging from image classification/image recognition, speech recognition, time series analysis, game intelligence, and computational advertising to numerical approximations of partial differential equations (PDEs). Such numerical simulations suggest that ANNs have the capacity to very efficiently approximate high-dimensional functions and, especially, such numerical simulations indicate that ANNs seem to admit the fundamental power to overcome the curse of dimensionality when approximating the high-dimensional functions appearing in the above named computational problems. There are also a series of rigorous mathematical approximation results for ANNs in the scientific literature. Some of these mathematical results prove convergence without convergence rates and some of these mathematical results even rigorously establish convergence rates but there are only a few special cases where mathematical results can rigorously explain the empirical success of ANNs when approximating high-dimensional functions. The key contribution of this article is to disclose that ANNs can efficiently approximate high-dimensional functions in the case of numerical approximations of Black-Scholes PDEs. More precisely, this work reveals that the number of required parameters of an ANN to approximate the solution of the Black-Scholes PDE grows at most polynomially in both the reciprocal of the prescribed approximation accuracy $\varepsilon > 0$ and the PDE dimension $d \in \mathbb{N}$ and we thereby prove, for the first time, that ANNs do indeed overcome the curse of dimensionality in the numerical approximation of Black-Scholes PDEs.
Lower error bounds for the stochastic gradient descent optimization algorithm: Sharp convergence rates for slowly and fast decaying learning rates
Mar 22, 2018The stochastic gradient descent (SGD) optimization algorithm plays a central role in a series of machine learning applications. The scientific literature provides a vast amount of upper error bounds for the SGD method. Much less attention as been paid to proving lower error bounds for the SGD method. It is the key contribution of this paper to make a step in this direction. More precisely, in this article we establish for every $\gamma, \nu \in (0,\infty)$ essentially matching lower and upper bounds for the mean square error of the SGD process with learning rates $(\frac{\gamma}{n^\nu})_{n \in \mathbb{N}}$ associated to a simple quadratic stochastic optimization problem. This allows us to precisely quantify the mean square convergence rate of the SGD method in dependence on the asymptotic behavior of the learning rates.