A neural network approach for stochastic optimal control

DOI10.1137/23M155832XzbMATH Open1547.35182MaRDI QIDQ6598497

Lars Ruthotto, Xingjian Li, Deepanshu Verma

Publication date: 5 September 2024

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationneural networksstochastic maximum principleforward-backward stochastic differential equationshigh-dimensional stochastic optimal control

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) PDEs with randomness, stochastic partial differential equations (35R60) Numerical methods in optimal control (49M99) Hamilton-Jacobi equations (35F21)

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