# Scalable physics-informed deep generative model for solving forward and inverse stochastic differential equations

arXiv: https://arxiv.org/abs/2503.18012 · HTML: https://mlsanity.com/paper/2503.18012/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 27 of its 51 references that are in the map.
- First posted on arXiv 23 Mar 2025.

## Builds on (most cited first, 27 of 27)

- [Denoising Diffusion Probabilistic Models](https://mlsanity.com/paper/2006.11239/) (2020)
- [Score-Based Generative Modeling through Stochastic Differential Equations](https://mlsanity.com/paper/2011.13456/) (2020)
- [Flow Matching for Generative Modeling](https://mlsanity.com/paper/2210.02747/) (2022)
- [Improved Training of Wasserstein GANs](https://mlsanity.com/paper/1704.00028/) (2017)
- [DeepONet: Learning nonlinear operators for identifying differential equations based on the universal approximation theorem of operators](https://mlsanity.com/paper/1910.03193/) (2019)
- [On the Spectral Bias of Neural Networks](https://mlsanity.com/paper/1806.08734/) (2018)
- [Diffusion Models in Vision: A Survey](https://mlsanity.com/paper/2209.04747/) (2022)
- [DGM: A deep learning algorithm for solving partial differential equations](https://mlsanity.com/paper/1708.07469/) (2017)
- [The Deep Ritz method: A deep learning-based numerical algorithm for solving variational problems](https://mlsanity.com/paper/1710.00211/) (2017)
- [Solving high-dimensional partial differential equations using deep learning](https://mlsanity.com/paper/1707.02568/) (2017)
- [Learning the solution operator of parametric partial differential equations with physics-informed DeepOnets](https://mlsanity.com/paper/2103.10974/) (2021)
- [Uncertainty Quantification in Scientific Machine Learning: Methods, Metrics, and Comparisons](https://mlsanity.com/paper/2201.07766/) (2022)
- [Quantifying total uncertainty in physics-informed neural networks for solving forward and inverse stochastic problems](https://mlsanity.com/paper/1809.08327/) (2018)
- [BayesFlow: Learning complex stochastic models with invertible neural networks](https://mlsanity.com/paper/2003.06281/) (2020)
- [Physics-Informed Generative Adversarial Networks for Stochastic Differential Equations](https://mlsanity.com/paper/1811.02033/) (2018)
- [Adversarial Uncertainty Quantification in Physics-Informed Neural Networks](https://mlsanity.com/paper/1811.04026/) (2018)
- [Hilbert Space Methods for Reduced-Rank Gaussian Process Regression](https://mlsanity.com/paper/1401.5508/) (2014)
- [Tackling the Curse of Dimensionality with Physics-Informed Neural Networks](https://mlsanity.com/paper/2307.12306/) (2023)
- [Overview frequency principle/spectral bias in deep learning](https://mlsanity.com/paper/2201.07395/) (2022)
- [Learning Functional Priors and Posteriors from Data and Physics](https://mlsanity.com/paper/2106.05863/) (2021)
- [Normalizing field flows: Solving forward and inverse stochastic differential equations using physics-informed flow models](https://mlsanity.com/paper/2108.12956/) (2021)
- [L-HYDRA: Multi-Head Physics-Informed Neural Networks](https://mlsanity.com/paper/2301.02152/) (2023)
- [Score-Based Physics-Informed Neural Networks for High-Dimensional Fokker-Planck Equations](https://mlsanity.com/paper/2402.07465/) (2024)
- [PI-VAE: Physics-Informed Variational Auto-Encoder for stochastic differential equations](https://mlsanity.com/paper/2203.11363/) (2022)
- [Monte Carlo PINNs: deep learning approach for forward and inverse problems involving high dimensional fractional partial differential equations](https://mlsanity.com/paper/2203.08501/) (2022)
- [Physics-informed semantic inpainting: Application to geostatistical modeling](https://mlsanity.com/paper/1909.09459/) (2019)
- [Learning and discovering multiple solutions using physics-informed neural networks with random initialization and deep ensemble](https://mlsanity.com/paper/2503.06320/) (2025)

## Abstract (arXiv)

Physics-informed deep learning approaches have been developed to solve forward and inverse stochastic differential equation (SDE) problems with high-dimensional stochastic space. However, the existing deep learning models have difficulties solving SDEs with high-dimensional spatial space. In the present study, we propose a scalable physics-informed deep generative model (sPI-GeM), which is capable of solving SDE problems with both high-dimensional stochastic and spatial space. The sPI-GeM consists of two deep learning models, i.e., (1) physics-informed basis networks (PI-BasisNet), which are used to learn the basis functions as well as the coefficients given data on a certain stochastic process or random field, and (2) physics-informed deep generative model (PI-GeM), which learns the distribution over the coefficients obtained from the PI-BasisNet. The new samples for the learned stochastic process can then be obtained using the inner product between the output of the generator and the basis functions from the trained PI-BasisNet. The sPI-GeM addresses the scalability in the spatial space in a similar way as in the widely used dimensionality reduction technique, i.e., principal component analysis (PCA). A series of numerical experiments, including approximation of Gaussian and non-Gaussian stochastic processes, forward and inverse SDE problems, are performed to demonstrate the accuracy of the proposed model. Furthermore, we also show the scalability of the sPI-GeM in both the stochastic and spatial space using an example of a forward SDE problem with 38- and 20-dimension stochastic and spatial space, respectively.