Derivative-informed projected neural networks for high-dimensional parametric maps governed by PDEs

Abstract Many-query problems – arising from, e.g., uncertainty quantification, Bayesian inversion, Bayesian optimal experimental design, and optimization under uncertainty – require numerous evaluations of a parameter-to-output map. These evaluations become prohibitive if this parametric map is high-dimensional and involves expensive solution of partial differential equations (PDEs). To tackle this challenge, we propose to construct surrogates for high-dimensional PDE-governed parametric maps in the form of derivative-informed projected neural networks (DIPNets) that parsimoniously capture the geometry and intrinsic low-dimensionality of these maps. Specifically, we compute Jacobians of these PDE-based maps, and project the high-dimensional parameters onto a low-dimensional derivative-informed active subspace; we also project the possibly high-dimensional outputs onto their principal subspace. This exploits the fact that many high-dimensional PDE-governed parametric maps can be well-approximated in low-dimensional parameter and output subspaces. We use the projection basis vectors in the active subspace as well as the principal output subspace to construct the weights for the first and last layers of the neural network, respectively. This frees us to train the weights in only the low-dimensional layers of the neural network. The architecture of the resulting neural network then captures, to first order, the low-dimensional structure and geometry of the parametric map. We demonstrate that the proposed projected neural network achieves greater generalization accuracy than a full neural network, especially in the limited training data regime afforded by expensive PDE-based parametric maps. Moreover, we show that the number of degrees of freedom of the inner layers of the projected network is independent of the parameter and output dimensions, and high accuracy can be achieved with weight dimension independent of the discretization dimension.