# Physics-Informed Generative Adversarial Networks for Stochastic Differential Equations

arXiv: https://arxiv.org/abs/1811.02033 · HTML: https://mlsanity.com/paper/1811.02033/

## Key facts

- Cited by 135 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 5 Nov 2018.

## Built on by (most cited first, 30 of 135)

- [Scientific Machine Learning through Physics-Informed Neural Networks: Where we are and What's next](https://mlsanity.com/paper/2201.05624/) (2022)
- [Finite Basis Physics-Informed Neural Networks (FBPINNs): a scalable domain decomposition approach for solving differential equations](https://mlsanity.com/paper/2107.07871/) (2021)
- [Efficient training of physics-informed neural networks via importance sampling](https://mlsanity.com/paper/2104.12325/) (2021)
- [CAN-PINN: A Fast Physics-Informed Neural Network Based on Coupled-Automatic-Numerical Differentiation Method](https://mlsanity.com/paper/2110.15832/) (2021)
- [From PINNs to PIKANs: Recent Advances in Physics-Informed Machine Learning](https://mlsanity.com/paper/2410.13228/) (2024)
- [PINNsFormer: A Transformer-Based Framework For Physics-Informed Neural Networks](https://mlsanity.com/paper/2307.11833/) (2023)
- [One-Shot Transfer Learning of Physics-Informed Neural Networks](https://mlsanity.com/paper/2110.11286/) (2021)
- [Learning Functional Priors and Posteriors from Data and Physics](https://mlsanity.com/paper/2106.05863/) (2021)
- [NeuralUQ: A comprehensive library for uncertainty quantification in neural differential equations and operators](https://mlsanity.com/paper/2208.11866/) (2022)
- [Solution of Physics-based Bayesian Inverse Problems with Deep Generative Priors](https://mlsanity.com/paper/2107.02926/) (2021)
- [L-HYDRA: Multi-Head Physics-Informed Neural Networks](https://mlsanity.com/paper/2301.02152/) (2023)
- [Uncertainty quantification for noisy inputs-outputs in physics-informed neural networks and neural operators](https://mlsanity.com/paper/2311.11262/) (2023)
- [Bi-fidelity Modeling of Uncertain and Partially Unknown Systems using DeepONets](https://mlsanity.com/paper/2204.00997/) (2022)
- [Uncertainty Quantification in Machine Learning for Engineering Design and Health Prognostics: A Tutorial](https://mlsanity.com/paper/2305.04933/) (2023)
- [Spectral Diffusion Processes](https://mlsanity.com/paper/2209.14125/) (2022)
- [Learning Stochastic Dynamical System via Flow Map Operator](https://mlsanity.com/paper/2305.03874/) (2023)
- [PI-VAE: Physics-Informed Variational Auto-Encoder for stochastic differential equations](https://mlsanity.com/paper/2203.11363/) (2022)
- [Sparse identification of nonlinear dynamics and Koopman operators with Shallow Recurrent Decoder Networks](https://mlsanity.com/paper/2501.13329/) (2025)
- [Physics-informed neural networks for PDE-constrained optimization and control](https://mlsanity.com/paper/2205.03377/) (2022)
- [Learning the temporal evolution of multivariate densities via normalizing flows](https://mlsanity.com/paper/2107.13735/) (2021)
- [Solving time dependent Fokker-Planck equations via temporal normalizing flow](https://mlsanity.com/paper/2112.14012/) (2021)
- [Learning Vortex Dynamics for Fluid Inference and Prediction](https://mlsanity.com/paper/2301.11494/) (2023)
- [Learning Green's Functions of Linear Reaction-Diffusion Equations with Application to Fast Numerical Solver](https://mlsanity.com/paper/2105.11045/) (2021)
- [The efficacy and generalizability of conditional GANs for posterior inference in physics-based inverse problems](https://mlsanity.com/paper/2202.07773/) (2022)
- [Gaussian processes meet NeuralODEs: A Bayesian framework for learning the dynamics of partially observed systems from scarce and noisy data](https://mlsanity.com/paper/2103.03385/) (2021)
- [Applying Machine Learning to Study Fluid Mechanics](https://mlsanity.com/paper/2110.02083/) (2021)
- [Adversarial sampling of unknown and high-dimensional conditional distributions](https://mlsanity.com/paper/2111.05962/) (2021)
- [Bayesian Physics-Informed Extreme Learning Machine for Forward and Inverse PDE Problems with Noisy Data](https://mlsanity.com/paper/2205.06948/) (2022)
- [Data-Driven Stochastic Closure Modeling via Conditional Diffusion Model and Neural Operator](https://mlsanity.com/paper/2408.02965/) (2024)
- [Learning Density Distribution of Reachable States for Autonomous Systems](https://mlsanity.com/paper/2109.06728/) (2021)

## Abstract (arXiv)

We developed a new class of physics-informed generative adversarial networks (PI-GANs) to solve in a unified manner forward, inverse and mixed stochastic problems based on a limited number of scattered measurements. Unlike standard GANs relying only on data for training, here we encoded into the architecture of GANs the governing physical laws in the form of stochastic differential equations (SDEs) using automatic differentiation. In particular, we applied Wasserstein GANs with gradient penalty (WGAN-GP) for its enhanced stability compared to vanilla GANs. We first tested WGAN-GP in approximating Gaussian processes of different correlation lengths based on data realizations collected from simultaneous reads at sparsely placed sensors. We obtained good approximation of the generated stochastic processes to the target ones even for a mismatch between the input noise dimensionality and the effective dimensionality of the target stochastic processes. We also studied the overfitting issue for both the discriminator and generator, and we found that overfitting occurs also in the generator in addition to the discriminator as previously reported. Subsequently, we considered the solution of elliptic SDEs requiring approximations of three stochastic processes, namely the solution, the forcing, and the diffusion coefficient. We used three generators for the PI-GANs, two of them were feed forward deep neural networks (DNNs) while the other one was the neural network induced by the SDE. Depending on the data, we employed one or multiple feed forward DNNs as the discriminators in PI-GANs. Here, we have demonstrated the accuracy and effectiveness of PI-GANs in solving SDEs for up to 30 dimensions, but in principle, PI-GANs could tackle very high dimensional problems given more sensor data with low-polynomial growth in computational cost.