Enhanced Computational Complexity in Continuous-Depth Models: Neural Ordinary Differential Equations With Trainable Numerical Schemes

Neural Ordinary Differential Equations (NODEs) serve as continuous-time analogs of residual networks. They provide a system-theoretic perspective on neural network architecture design and offer natural solutions for time series modeling, forecasting, and applications where invertible neural networks are essential. However, these models suffer from slow performance due to heavy numerical solver overhead. For instance, a popular solution for training and inference of NODEs consists in using adaptive step size solvers such as the popular Dormand–Prince 5(4) (DOPRI). These solvers dynamically adjust the Number of Function Evaluations (NFE) as the equation fits the training data and becomes more complex. However, this comes at the cost of an increased number of function evaluations, which reduces computational efficiency. In this work, we propose a novel approach: making the parameters of the numerical integration scheme trainable. By doing so, the numerical scheme dynamically adapts to the dynamics of the NODE, resulting in a model that operates with a fixed NFE. We compare the proposed trainable solvers with state-of-the-art approaches, including DOPRI, for different benchmarks, including classification, density estimation, and dynamical system modeling. Overall, we report a state-of-the-art performance for all benchmarks in terms of accuracy metrics, while enhancing the computational efficiency through trainable fixed-step-size solvers. This work opens up new possibilities for practical and efficient modeling applications with NODEs.