Deep-MacroFin: Informed Equilibrium Neural Network for Continuous-Time Economic Models

In this article, we present Deep-MacroFin, a comprehensive framework designed to solve partial differential equations, with a particular focus on models in continuous time economics. This framework leverages deep learning methodologies, including multilayer perceptrons and the newly developed Kolmogorov-Arnold Networks. It is optimized using economic information encapsulated by Hamilton-Jacobi-Bellman (HJB) equations and coupled algebraic equations. The application of neural networks holds the promise of accurately resolving high-dimensional problems with fewer computational demands and limitations compared to other numerical methods. The framework can be readily adapted for systems of partial differential equations in high dimensions. Importantly, it offers a more efficient (5 × less CUDA memory and 40 × fewer FLOPs in 100D problems) and user-friendly implementation than existing libraries. We also incorporate a time-stepping scheme to enhance training stability for nonlinear HJB equations, enabling the solution of 50D economic models.

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Publication Details

Journal
The Journal of Financial Data Science
Published
2026-03-16
DOI
https://doi.org/10.3905/jfds.2026.002
Primary Topic
Model Reduction and Neural Networks
Type
article
Field-Weighted Citation Impact
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article

Deep-MacroFin: Informed Equilibrium Neural Network for Continuous-Time Economic Models

The Journal of Financial Data Science
Model Reduction and Neural Networks
article

Deep-MacroFin: Informed Equilibrium Neural Network for Continuous-Time Economic Models

article en

Abstract

In this article, we present Deep-MacroFin, a comprehensive framework designed to solve partial differential equations, with a particular focus on models in continuous time economics. This framework leverages deep learning methodologies, including multilayer perceptrons and the newly developed Kolmogorov-Arnold Networks. It is optimized using economic information encapsulated by Hamilton-Jacobi-Bellman (HJB) equations and coupled algebraic equations. The application of neural networks holds the promise of accurately resolving high-dimensional problems with fewer computational demands and limitations compared to other numerical methods. The framework can be readily adapted for systems of partial differential equations in high dimensions. Importantly, it offers a more efficient (5 × less CUDA memory and 40 × fewer FLOPs in 100D problems) and user-friendly implementation than existing libraries. We also incorporate a time-stepping scheme to enhance training stability for nonlinear HJB equations, enabling the solution of 50D economic models.

The Journal of Financial Data Science
York University (CA), Toronto Zoo (CA), Rothman Institute (US), Rogers (United States) (US)
Openalex Percentile: Top 20%
Model Reduction and Neural Networks
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Deep-MacroFin: Informed Equilibrium Neural Network for Continuous-Time Economic Models · The Journal of Financial Data Science (2026) | TGRS Research Map | TGRS