A novel method for response probability density of nonlinear stochastic dynamic systems

Abstract This paper presents a novel method for analyzing high-dimensional nonlinear stochastic dynamic systems. In particular, we attempt to obtain the solution of the Fokker–Planck–Kolmogorov (FPK) equation governing the response probability density of the system without using the FPK equation directly. The method consists of several important components including the radial basis function neural networks (RBFNN), Feynman–Kac formula and the short-time Gaussian property of the response process. In the area of solving partial differential equations (PDEs) using neural networks, known as physics-informed neural network (PINN), the proposed method presents an effective alternative for obtaining solutions of PDEs without directly dealing with the equation, thus avoids evaluating the derivatives of the equation. This approach has a potential to make the neural network-based solution more efficient and accurate. Several highly challenging examples of nonlinear stochastic systems are presented in the paper to illustrate the effectiveness of the proposed method in comparison to the equation-based RBFNN approach.