Abstract

Monte Carlo integration is a widely used quadrature rule to solve Partial Differential Equations with neural networks due to its ability to guarantee overfitting-free solutions and high-dimensional scalability. However, this stochastic method produces noisy losses and gradients during training, which hinders a proper convergence diagnosis. Typically, this is overcome using an immense (disproportionate) amount of integration points, which deteriorates the training performance. This work proposes a memory-based Monte Carlo integration method that produces accurate integral approximations without requiring the high computational costs of processing large samples during training.