Goal-oriented learning of stochastic differential equations using error bounds on path-space observables

Stochastic differential equations (SDEs), which serve as the governing equations for dynamical systems in a broad range of applications, can become cost-prohibitive for numerical simulation at scales necessary for quantifying key properties.

Surrogate models of the drift function of an SDE, learned from data of the high-fidelity system, are routinely used to increase the efficiency of simulation and prediction of properties.

However, standard choices of loss function for learning the surrogate model fail to provide error guarantees in certain path-dependent observables, such as transition times.

This paper introduces an error bound for path-space observables and employs it as a novel variational loss for the goal-oriented learning of the drift function of a SDE.

We show the error bound holds for a broad class of observables, including mean first hitting times on unbounded time domains.

We derive an analytical gradient of the goal-oriented loss by leveraging the formula for Fréchet derivatives of expected path functionals, which remains tractable for implementation in stochastic gradient descent schemes.

We demonstrate that surrogate models of overdamped Langevin systems developed via goal-oriented learning achieve improved accuracy in predicting the statistics of a first hitting time observable and robustness to distributional shift in the data.