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Workshop: The Symbiosis of Deep Learning and Differential Equations

Spectral PINNs: Fast Uncertainty Propagation with Physics-Informed Neural Networks

Björn Lütjens · Mark Veillette · Dava Newman


Physics-informed neural networks (PINNs) promise to significantly speed up partial differential equation (PDE) solvers. However, most PINNs can only solve deterministic PDEs. Here, we consider \textit{stochastic} PDEs that contain partially unknown parameters. We aim to quickly quantify the impact of uncertain parameters onto the solution of a PDE - that is - we want to perform fast uncertainty propagation. Classical uncertainty propagation methods such as Monte Carlo sampling, stochastic Galerkin, collocation, or discrete projection methods become computationally too expensive with an increasing number of stochastic parameters. For example, the well-known spectral or polynomial chaos expansions achieve to separate the spatiotemporal and probabilistic domains and offer theoretical guarantees and fast computation of stochastic summaries (e.g., mean), but can be computationally expensive to form. Our Spectral-PINNs approximate the underlying spectral coefficients with a neural network and reduce the computational cost of the spectral expansion while maintaining guarantees. We derive the method for partial differential equations, discuss runtime, demonstrate initial results on the convection-diffusion equation, and provide steps towards convergence guarantees.

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