Stochastic Dimension Zeroth-Order Estimator: Stable and Memory-Efficient Training of PINNs

Enforcing prescribed global integral constraints in mesh-free neural PDE solvers is challenging in high-dimensional domains. Existing projection methods for spatial integrals are often tied to fixed grids or uniform quadrature, which can conflict with randomly sampled physics-informed neural networks (PINNs) and scale poorly with dimension. High-order differential operators also increase reverse-mode automatic differentiation memory costs. We propose Stochastic Dimension Implicit Functional Projection (SDIFP), a quadrature-level framework for enforcing prescribed first and second spatial moments. SDIFP replaces tensor-product nodal projection by a global affine correction of the neural-network output, with two scalar coefficients determined from a weighted quadrature rule. Under positive target variance and nonzero empirical raw variance, this correction is the nearest-point projection, in the weighted quadrature norm, onto the empirical two-moment constraint set. Thus, the prescribed moments are exact for the selected quadrature rule, while continuum errors are quadrature errors of the corrected field. For decomposable high-dimensional linear operators, SDIFP combines affine moment correction with stochastic operator-subset sampling. With independent residual and derivative sampling and conditionally unbiased coefficient-gradient estimation, the resulting estimator is unbiased for the specified quadrature-based residual objective; the shared-subset fast mode is biased in general. SDIFP avoids tensor-product quadrature for moment enforcement, separates forward quadrature evaluation from the reverse-mode graph, and retains pointwise inference efficiency once the affine coefficients are fixed or precomputed.

Solving high-dimensional and high-order PDEs is challenged by the coupled growth of spatial dimensionality and derivative order. Recent stochastic derivative estimators reduce this cost by replacing full derivative tensors with randomized dimension or Taylor estimators, but they are mostly designed for fixed physical parameters and require retraining for each new parameter. We show that direct conditional parameterization of such solvers entangles physical parameters with the high-order automatic differentiation graph, causing extra memory growth and parameter-induced variance amplification. We propose Parameterized Representations via Implicit Stochastic Modulation (PRISM), a plug-and-play framework for parameterized high-dimensional and high-order stochastic neural PDE solvers. PRISM uses a hyper-generator to map physical parameters to affine modulators that scale and shift a purely spatial latent manifold, while keeping parameter branches value-connected but spatial-tangent-disconnected. This design preserves unbiased stochastic dimension and Taylor estimators, removes the parameter encoder from high-order spatial AD, and provides a variance-aware Lipschitz envelope over the parameter space. We prove parameterized unbiasedness, estimation-error bounds, and convergence under bounded stochastic variance. Experiments with PRISM-STDE and PRISM-SDGD on nonlinear parameterized PDEs show stable zero-shot generalization, reduced memory usage, and scalability up to 100,000 dimensions on a single GPU, with efficient low-rank SVD adaptation for unseen parameters.

Deep learning methods based on backward stochastic differential equations (BSDEs) have emerged as competitive alternatives to physics-informed neural networks (PINNs) for solving high-dimensional partial differential equations (PDEs). By leveraging probabilistic representations, BSDE approaches can avoid the curse of dimensionality and often admit second-order-free training objectives that do not require explicit Hessian evaluations. It has recently been established that the commonly used Euler-Maruyama (EM) time discretization induces an intrinsic bias in BSDE training losses. While high-order schemes such as Heun can fully eliminate this bias, such schemes re-introduce second-order spatial derivatives and incur substantial computational overhead. In this work, we provide a principled analysis of EM-induced loss bias and propose an unbiased, second-order-free training framework that preserves the computational advantages of BSDE methods. Our code is available at https://github.com/seojaemin22/Un-EM-BSDE.