反射布朗运动平稳分布的深度学习方法 / Deep Learning Method for Stationary Distribution of Reflected Brownian Motion
1️⃣ 一句话总结
本文提出了一种基于深度学习的计算方法,通过训练神经网络来高效学习高维反射布朗运动的平稳分布,从而能够准确预测其尾部概率等关键性能指标,为传统数学难以处理的复杂随机系统分析提供了通用工具。
The stationary distribution of reflected Brownian motion (RBM) plays an important role in the analysis of high-dimensional stochastic systems, yet closed-form solutions are known only for a few special cases. Computing important performance metrics, such as tail probabilities, is even more intractable, despite their practical relevance. In this paper, we develop a deep learning approach that accurately and efficiently learns the Laplace transform of high-dimensional RBMs based on the basic adjoint relationship (BAR). Our framework combines a careful design of the loss function, training data sampling procedure, and neural network architecture. We evaluate the proposed method on RBM instances with known ground-truth tail probabilities and demonstrate near-perfect prediction in high-dimensional settings, highlighting its potential as a general tool for analyzing stochastic systems beyond analytically tractable regimes. Our code can be found at this https URL.
反射布朗运动平稳分布的深度学习方法 / Deep Learning Method for Stationary Distribution of Reflected Brownian Motion
本文提出了一种基于深度学习的计算方法,通过训练神经网络来高效学习高维反射布朗运动的平稳分布,从而能够准确预测其尾部概率等关键性能指标,为传统数学难以处理的复杂随机系统分析提供了通用工具。
源自 arXiv: 2607.08091