Holomorphic Cauchy Networks for Efficient Stationary Tail Computation in High-Dimensional Reflected Brownian Motions

원문 초록

Stationary tail computation for high-dimensional reflected Brownian motions (RBMs) remains computationally challenging. Building on NN4MGF's shared-coordinate basic-adjoint-relationship (BAR) framework, we develop Holomorphic Cauchy Networks (HCNs). Native complex-valued rational Cauchy subnetworks enforce holomorphicity on pole-free domains, removing sampled Cauchy-Riemann penalties and their input-derivative graphs. Exact origin anchoring and boundary-coordinate exclusion enforce structural identities, while anchored interactions represent dependent transforms. Under holomorphic-log assumptions, we establish simultaneous value and first-derivative approximation for the constrained architectures and a mixed-derivative lower bound for coordinate-only representations under nonzero cross-covariance. Closed-form real-axis derivatives and sequential backpropagation further control memory. On the same NVIDIA H100 NVL, the tested 30D HCN configuration uses approximately tenfold less peak allocated memory and has 9.7-fold lower mean update time than NN4MGF; extrapolation to the respective scheduled update counts gives a projected full-schedule update-time ratio of 58.2. With 64 million sampled base inputs per high-dimensional run, HCN reaches 50 dimensions on a laptop GPU with 6.367% mean relative error over thresholds 1 through 8. Degree-matched comparisons yield lower reported mean relative errors over the primary evaluation ranges, including 1.422% versus 6.684% on the 2D Harrison non-product benchmark. On a 10D correlated RBM benchmark, HCN achieves 3.829% mean relative error over thresholds 1 through 8 against a simulation reference, compared with 19.386% for an independent-marginal baseline.