We propose a fast algorithm for the probabilistic solution of boundary value problems (BVPs), which areordinary differential equations subject toboundary conditions.

Several numerical differential equation solvers have been employed effectively over the years as an alternative to analytical solvers to quickly and conveniently solve differential equations. One category of these is boundary value solvers, which are used to solve real-world problems formulated as differential equations with boundary conditions. These solvers require certain numerical settings to solve the differential equations that affect their solvability and performance. A systematic fine-tuning of these settings is required to obtain the desired solution and performance. Currently, these settings are either selected by trial and error or require domain expertise. In this paper, we propose a machine learning-based optimization workflow for fine-tuning the numerical settings to reduce the time and domain expertise required in the process. In the evaluation section, we discuss the scalability, stability, and reliability of the proposed workflow. We demonstrate our workflow on a numerical boundary value problem solver.

Hamilton-Jacobi-Isaacs (HJI) PDEs are the governing equations for the two-player general-sum games. Unlike Reinforcement Learning (RL) methods, which are data-intensive methods for learning value function, learning HJ PDEs provide a guaranteed convergence to the Nash Equilibrium value of the game when it exists. However, a caveat is that solving HJ PDEs becomes intractable when the state dimension increases. To circumvent the curse of dimensionality (CoD), physics-informed machine learning methods with supervision can be used and have been shown to be effective in generating equilibrial policies in two-player general-sum games. In this work, we extend the existing work on agent-level two-player games to a two-player swarm-level game, where two sub-swarms play a general-sum game. We consider the \textit{Kolmogorov forward equation} as the dynamic model for the evolution of the densities of the swarms. Results show that policies generated from the physics-informed neural network (PINN) result in a higher payoff than a Nash Double Deep Q-Network (Nash DDQN) agent and have comparable performance with numerical solvers.

We propose a fast algorithm for the probabilistic solution of boundary value problems (BVPs), which are ordinary differential equations subject to boundary conditions. In contrast to previous work, we introduce a Gauss--Markov prior and tailor it specifically to BVPs, which allows computing a posterior distribution over the solution in linear time, at a quality and cost comparable to that of well-established, non-probabilistic methods. Our model further delivers uncertainty quantification, mesh refinement, and hyperparameter adaptation. We demonstrate how these practical considerations positively impact the efficiency of the scheme. Altogether, this results in a practically usable probabilistic BVP solver that is (in contrast to non-probabilistic algorithms) natively compatible with other parts of the statistical modelling tool-chain.