Large Sample Mean-Field Stochastic Optimization

DOI10.1137/21M1424937zbMath1498.93772arXiv1906.08894MaRDI QIDQ5097396

Huafu Liao, Agostino Capponi, Li Jun Bo

Publication date: 23 August 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.08894

zbMATH Keywords

\(\Gamma\)-convergenceFokker-Planck-Kolmogorov equationrelaxed controlsdeep residual neural networksmean-field stochastic optimization

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Fokker-Planck equations (35Q84)

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