arXiv subjects

Yuancheng Zhou

Publications and source records attributed to Yuancheng Zhou.

3 recordsLinked to original sources

arXiv2026

DeepSPoC: A Deep Learning Based Sequential Propagation of Chaos

Classical particle methods based on propagation of chaos (PoC) have been developed for solving mean-field stochastic differential equations and their associated nonlinear Fokker--Planck equations. However, direct PoC implementations are difficult to apply to high-dimensional problems because they require simulating and storing large numbers of interacting particles, often with high particle-particle interaction costs. Motivated by these limitations, we build on the recently proposed sequential propagation of chaos (SPoC) framework, which replaces the fully interacting particle system in PoC with a sequential interaction mechanism. Based on this structure, we present DeepSPoC, a neural particle method that embeds a neural density representation into the sequential particle dynamics. DeepSPoC simulates particles batch by batch, while the neural network represents the evolving empirical law and is substituted into the coefficients of the mean-field SDE, thereby replacing direct particle-particle interactions with particle-network interactions. In DeepSPoC, a recently developed normalizing flow model called KRnet is used to approximate the empirical measure of particles. Compared with direct particle implementations, DeepSPoC substantially reduces memory consumption and evaluates interaction terms more efficiently, thereby improving scalability for high-dimensional problems. We apply DeepSPoC to a wide range of mean-field equations and verify its effectiveness and computational advantages.

cs.LG↗

arXiv2023

Adaptive importance sampling for Deep Ritz

We introduce an adaptive sampling method for the Deep Ritz method aimed at solving partial differential equations (PDEs). Two deep neural networks are used. One network is employed to approximate the solution of PDEs, while the other one is a deep generative model used to generate new collocation points to refine the training set. The adaptive sampling procedure consists of two main steps. The first step is solving the PDEs using the Deep Ritz method by minimizing an associated variational loss discretized by the collocation points in the training set. The second step involves generating a new training set, which is then used in subsequent computations to further improve the accuracy of the current approximate solution. We treat the integrand in the variational loss as an unnormalized probability density function (PDF) and approximate it using a deep generative model called bounded KRnet. The new samples and their associated PDF values are obtained from the bounded KRnet. With these new samples and their associated PDF values, the variational loss can be approximated more accurately by importance sampling. Compared to the original Deep Ritz method, the proposed adaptive method improves accuracy, especially for problems characterized by low regularity and high dimensionality. We demonstrate the effectiveness of our new method through a series of numerical experiments.

cs.LG↗

arXiv2022

Solving Stochastic Optimization by Newton-type methods with Dimension-Adaptive Sparse Grid Quadrature

Stochastic optimisation problems minimise expectations of random cost functions. We use 'optimise then discretise' method to solve stochastic optimisation. In our approach, accurate quadrature methods are required to calculate the objective, gradient or Hessian which are in fact integrals. We apply the dimension-adaptive sparse grid quadrature to approximate these integrals when the problem is high dimensional. Dimension-adaptive sparse grid quadrature shows high accuracy and efficiency in computing an integral with a smooth integrand. It is a kind of generalisation of the classical sparse grid method, which refines different dimensions according to their importance. We show that the dimension-adaptive sparse grid quadrature has better performance in the optimise then discretise' method than the 'discretise then optimise' method.

math.NA↗