Adaptive Probability Flow Residual Minimization for High-Dimensional Fokker-Planck Equations

Solving high-dimensional Fokker-Planck (FP) equations remains a challenging problem in computational physics and stochastic dynamics, due to the curse of dimensionality, unbounded domains, and complex probability landscapes.

In this work, we propose an adaptive probability flow residual minimization (A-PFRM) method for this problem.

The second-order FP equation is reformulated as an equivalent first-order continuity equation associated with the probability flow ordinary differential equation, based on which a loss function is constructed to train neural network approximations without Hessian computation.

To further improve the computational efficiency, the Hutchinson trace estimator is applied to compute the divergence in the corresponding score function, such that the training time can be dimension-independent on GPUs.

Adaptive sampling strategies are employed to generate the collocation points, and our analysis shows that the Kullback-Leibler divergence between our A-PFRM approximation and the exact solution is bounded by the residual loss weighted by the estimated density function.

Numerical experiments are presented to demonstrate the performance of A-PFRM, which include Ornstein-Uhlenbeck (OU) processes problems, Brownian motions with time-varying diffusion, and Geometric OU processes featuring non-Gaussian solutions up to one hundred dimensions.