Actor-Critic Method for High Dimensional Static Hamilton--Jacobi--Bellman Partial Differential Equations based on Neural Networks (Q5021407): Difference between revisions

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scientific article; zbMATH DE number 7456295

Language	Label	Description	Also known as
English	Actor-Critic Method for High Dimensional Static Hamilton--Jacobi--Bellman Partial Differential Equations based on Neural Networks	scientific article; zbMATH DE number 7456295

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instance of

scholarly article

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title

Actor-Critic Method for High Dimensional Static Hamilton--Jacobi--Bellman Partial Differential Equations based on Neural Networks (English)

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SIAM Journal on Scientific Computing

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publication date

13 January 2022

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full work available at URL

https://arxiv.org/abs/2102.11379

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zbMATH Keywords

Hamilton-Jacobi-Bellman equations

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high dimensional partial differential equations

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stochastic control

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actor-critic methods

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describes a project that uses

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MaRDI publication profile

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cites work

On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations

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Galerkin approximations of the generalized Hamilton-Jacobi-Bellman equation

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Approximate solutions to the time-invariant Hamilton-Jacobi-Bellman equation

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Deep optimal stopping

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Natural actor-critic algorithms

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Solving Dirichlet problems numerically using the Feynman-Kac representation

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Machine learning for semi linear PDEs

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User’s guide to viscosity solutions of second order partial differential equations

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Tensor Decomposition Methods for High-dimensional Hamilton--Jacobi--Bellman Equations

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Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

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Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning

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Weak approximation of killed diffusion using Euler schemes.

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Recurrent neural networks for stochastic control problems with delay

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Solving high-dimensional partial differential equations using deep learning

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Convergence of the deep BSDE method for coupled FBSDEs

0 references

Solving high-dimensional eigenvalue problems using deep neural networks: a diffusion Monte Carlo like approach

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A derivative-free method for solving elliptic partial differential equations with deep neural networks

0 references

Polynomial Approximation of High-Dimensional Hamilton--Jacobi--Bellman Equations and Applications to Feedback Control of Semilinear Parabolic PDEs

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Mitigating the curse of dimensionality: sparse grid characteristics method for optimal feedback control and HJB equations

0 references

Q5313290

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OnActor-Critic Algorithms

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HJB-POD-Based Feedback Design for the Optimal Control of Evolution Problems

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On reachability and minimum cost optimal control

0 references

A time-dependent Hamilton-Jacobi formulation of reachable sets for continuous dynamic games

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Overapproximating reachable sets by Hamilton-Jacobi projections

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Adaptive Deep Learning for High-Dimensional Hamilton--Jacobi--Bellman Equations

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Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space

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Fronts propagating with curvature-dependent speed: Algorithms based on Hamilton-Jacobi formulations

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Q4379369

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Adapted solution of a backward stochastic differential equation

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Q4029028

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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Neural networks-based backward scheme for fully nonlinear PDEs

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Numerical solution of Hamilton–Jacobi–Bellman equations by an exponentially fitted finite volume method

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Q4626283

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Online actor-critic algorithm to solve the continuous-time infinite horizon optimal control problem

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Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method

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Q4255599

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Identifiers

zbMATH Open document ID

1481.65203

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DOI

10.1137/21M1402303

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5021407

@@ Property / cites work @@
+On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
+Normal rank
@@ Property / cites work @@
+Galerkin approximations of the generalized Hamilton-Jacobi-Bellman equation
+Normal rank
@@ Property / cites work @@
+Approximate solutions to the time-invariant Hamilton-Jacobi-Bellman equation
+Normal rank
@@ Property / cites work @@
+Deep optimal stopping
@@ Property / cites work: Deep optimal stopping / rank @@
+Normal rank
@@ Property / cites work @@
+Natural actor-critic algorithms
@@ Property / cites work: Natural actor-critic algorithms / rank @@
+Normal rank
@@ Property / cites work @@
+Solving Dirichlet problems numerically using the Feynman-Kac representation
+Normal rank
@@ Property / cites work @@
+Machine learning for semi linear PDEs
@@ Property / cites work: Machine learning for semi linear PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+Tensor Decomposition Methods for High-dimensional Hamilton--Jacobi--Bellman Equations
+Normal rank
@@ Property / cites work @@
+Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
+Normal rank
@@ Property / cites work @@
+Weak approximation of killed diffusion using Euler schemes.
+Normal rank
@@ Property / cites work @@
+Recurrent neural networks for stochastic control problems with delay
+Normal rank
@@ Property / cites work @@
+Solving high-dimensional partial differential equations using deep learning
+Normal rank
@@ Property / cites work @@
+Convergence of the deep BSDE method for coupled FBSDEs
+Normal rank
@@ Property / cites work @@
+Solving high-dimensional eigenvalue problems using deep neural networks: a diffusion Monte Carlo like approach
+Normal rank
@@ Property / cites work @@
+A derivative-free method for solving elliptic partial differential equations with deep neural networks
+Normal rank
@@ Property / cites work @@
+Polynomial Approximation of High-Dimensional Hamilton--Jacobi--Bellman Equations and Applications to Feedback Control of Semilinear Parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Mitigating the curse of dimensionality: sparse grid characteristics method for optimal feedback control and HJB equations
+Normal rank
@@ Property / cites work @@
+Q5313290
@@ Property / cites work: Q5313290 / rank @@
+Normal rank
@@ Property / cites work @@
+OnActor-Critic Algorithms
@@ Property / cites work: OnActor-Critic Algorithms / rank @@
+Normal rank
@@ Property / cites work @@
+HJB-POD-Based Feedback Design for the Optimal Control of Evolution Problems
+Normal rank
@@ Property / cites work @@
+On reachability and minimum cost optimal control
@@ Property / cites work: On reachability and minimum cost optimal control / rank @@
+Normal rank
@@ Property / cites work @@
+A time-dependent Hamilton-Jacobi formulation of reachable sets for continuous dynamic games
+Normal rank
@@ Property / cites work @@
+Overapproximating reachable sets by Hamilton-Jacobi projections
+Normal rank
@@ Property / cites work @@
+Adaptive Deep Learning for High-Dimensional Hamilton--Jacobi--Bellman Equations
+Normal rank
@@ Property / cites work @@
+Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
+Normal rank
@@ Property / cites work @@
+Fronts propagating with curvature-dependent speed: Algorithms based on Hamilton-Jacobi formulations
+Normal rank
@@ Property / cites work @@
+Q4379369
@@ Property / cites work: Q4379369 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Neural networks-based backward scheme for fully nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Numerical solution of Hamilton–Jacobi–Bellman equations by an exponentially fitted finite volume method
+Normal rank
@@ Property / cites work @@
+Q4626283
@@ Property / cites work: Q4626283 / rank @@
+Normal rank
@@ Property / cites work @@
+Online actor-critic algorithm to solve the continuous-time infinite horizon optimal control problem
+Normal rank
@@ Property / cites work @@
+Numerical solution of Hamilton-Jacobi-Bellman equations by an upwind finite volume method
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank