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

DOI10.1137/21M1402303zbMath1481.65203arXiv2102.11379WikidataQ115246863 ScholiaQ115246863MaRDI QIDQ5021407

Jiequn Han, Mo Zhou, Jian-feng Lu

Publication date: 13 January 2022

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

Full work available at URL: https://arxiv.org/abs/2102.11379

zbMATH Keywords

stochastic controlHamilton-Jacobi-Bellman equationsactor-critic methodshigh dimensional partial differential equations

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Numerical mathematical programming methods (65K05) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Related Items (7)

SympOCnet: Solving Optimal Control Problems with Applications to High-Dimensional Multiagent Path Planning Problems ⋮ Deep reinforcement learning of viscous incompressible flow ⋮ Approximating Optimal feedback Controllers of Finite Horizon Control Problems Using Hierarchical Tensor Formats ⋮ Data-Driven Tensor Train Gradient Cross Approximation for Hamilton–Jacobi–Bellman Equations ⋮ Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes ⋮ Deep reinforcement learning in finite-horizon to explore the most probable transition pathway ⋮ Approximative Policy Iteration for Exit Time Feedback Control Problems Driven by Stochastic Differential Equations using Tensor Train Format

Uses Software

• TensorFlow
• Adam
• GitHub

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