QD-PINN:A Physics-Informed Neural Network Approach to Bayesian Quickest Detection in High-Dimensional Diffusions

Hang Ye, Yi Liu, Haipeng Xing

Quickest detection problems (QDPs) arise in a wide range of applications. However, the complementarity structure of the associated variational inequalities poses substantial challenges for traditional numerical methods, particularly in high-dimensional settings. We propose a PINN-based framework for estimating the optimal stopping boundary in QDPs with high-dimensional diffusion processes and spatial dependence, while overcoming the curse of dimensionality. Theoretically, we establish a novel equivalence between the free-boundary PDE and an infinite-dimensional stochastic optimization problem, rigorously justifying the use of finite-dimensional neural networks to approximate the true solution. Furthermore, we assess the robustness of the proposed framework by quantifying uncertainty in the learned stopping boundaries using deep ensembles and Monte Carlo dropout. The results show low variability across independent training runs and stochastic forward passes, indicating stable and consistent boundary estimates. We also compare our PINN results with reference numerical solutions where available and find close agreement.