The repo is a Tensorflow implementation of deep learning based BSDE.
- Two versions of algorithms, based on paper Solving high-dimensional partial differential equations using deep learning and Machine Learning for Semi Linear PDEs respectively, have been implemented.
- A Black-Schole Call option BSDE has been added as an example.
- A ModelRunner class is added to control the pipeline of model training and evaluation: evaluate the performance on testset only when the lowest-by-far validation loss has been achieved.
By default we use method mentioned in Solving high-dimensional partial differential equations using deep learning
python main.py If we want to use the method mentioned in Machine Learning for Semi Linear PDEs,
python main.py --network_type mergedtensorflow==1.13.1