Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis

Côme Huré; Huyên Pham; Achref Bachouch; Nicolas Langrené

doi:10.1137/20m1316640

Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis

SIAM Journal on Numerical Analysis ◽

10.1137/20m1316640 ◽

2021 ◽

Vol 59 (1) ◽

pp. 525-557

Author(s):

Côme Huré ◽

Huyên Pham ◽

Achref Bachouch ◽

Nicolas Langrené

Keyword(s):

Neural Networks ◽

Convergence Analysis ◽

Stochastic Control ◽

Deep Neural Networks ◽

Finite Horizon ◽

Control Problems ◽

Stochastic Control Problems

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Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications

Methodology And Computing In Applied Probability ◽

10.1007/s11009-019-09767-9 ◽

2021 ◽

Author(s):

Achref Bachouch ◽

Côme Huré ◽

Nicolas Langrené ◽

Huyên Pham

Keyword(s):

Neural Networks ◽

Stochastic Control ◽

Deep Neural Networks ◽

Finite Horizon ◽

Control Problems ◽

Stochastic Control Problems

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Logarithmic transformations for discrete-time, finite-horizon stochastic control problems

Applied Mathematics & Optimization ◽

10.1007/bf01443619 ◽

1988 ◽

Vol 18 (1) ◽

pp. 143-161 ◽

Cited By ~ 2

Author(s):

Francesca Albertini ◽

Wolfgang J. Runggaldier

Keyword(s):

Stochastic Control ◽

Discrete Time ◽

Finite Horizon ◽

Control Problems ◽

Stochastic Control Problems

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Regression Methods for Stochastic Control Problems and Their Convergence Analysis

SIAM Journal on Control and Optimization ◽

10.1137/090752651 ◽

2010 ◽

Vol 48 (5) ◽

pp. 3562-3588 ◽

Cited By ~ 30

Author(s):

Denis Belomestny ◽

Anastasia Kolodko ◽

John Schoenmakers

Keyword(s):

Convergence Analysis ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

Regression Methods

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Robust Classical-Impulse Stochastic Control Problems in an In finite Horizon

SSRN Electronic Journal ◽

10.2139/ssrn.3925923 ◽

2021 ◽

Author(s):

Chi Seng Pun

Keyword(s):

Stochastic Control ◽

Finite Horizon ◽

Control Problems ◽

Stochastic Control Problems

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Recurrent neural networks for stochastic control problems with delay

Mathematics of Control Signals and Systems ◽

10.1007/s00498-021-00300-3 ◽

2021 ◽

Author(s):

Jiequn Han ◽

Ruimeng Hu

Keyword(s):

Neural Networks ◽

Stochastic Control ◽

Recurrent Neural Networks ◽

Control Problems ◽

Stochastic Control Problems

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Decoupling Non-Sequential Stochastic Control Problems

1991 American Control Conference ◽

10.23919/acc.1991.4791883 ◽

1991 ◽

Cited By ~ 4

Author(s):

Mark S. Andersland

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems

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On the maximum principle for stochastic control problems

Probability Theory and Applications ◽

10.1515/9783112314227-105 ◽

1987 ◽

pp. 777-782

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

The Maximum Principle

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The Relation Between Generalized and Singular Stochastic Control Problems 1

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)35329-6 ◽

2001 ◽

Vol 34 (6) ◽

pp. 1095-1099

Author(s):

Dufour Francois ◽

Miller Boris

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations

SIAM Journal on Control and Optimization ◽

10.1137/140956051 ◽

2015 ◽

Vol 53 (6) ◽

pp. 3673-3689 ◽

Cited By ~ 10

Author(s):

Kai Du

Keyword(s):

Stochastic Control ◽

Riccati Equations ◽

Optimal Stochastic Control ◽

Control Problems ◽

Linear Quadratic ◽

Solvability Conditions ◽

Stochastic Control Problems

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A Numerical Method for Solving Singular Stochastic Control Problems

Operations Research ◽

10.1287/opre.1030.0107 ◽

2004 ◽

Vol 52 (4) ◽

pp. 563-582 ◽

Cited By ~ 33

Author(s):

Sunil Kumar ◽

Kumar Muthuraman

Keyword(s):

Numerical Method ◽

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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