Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (Q825596)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space |
scientific article |
Statements
Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (English)
0 references
17 December 2021
0 references
Hamilton-Jacobi-Bellman PDEs
0 references
forward-backward SDEs
0 references
optimal control of diffusions
0 references
divergences between probability measures
0 references
rare event simulation
0 references
deep learning
0 references
iterative diffusion optimisation techniques,
0 references
