Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
From MaRDI portal
Publication:825596
DOI10.1007/s42985-021-00102-xzbMath1480.35101arXiv2005.05409OpenAlexW3180106877WikidataQ114216502 ScholiaQ114216502MaRDI QIDQ825596
Lorenz Richter, Nikolas Nüsken
Publication date: 17 December 2021
Published in: SN Partial Differential Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.05409
rare event simulationdeep learningHamilton-Jacobi-Bellman PDEsdivergences between probability measuresforward-backward SDEsiterative diffusion optimisation techniques,optimal control of diffusions
Related Items (19)
Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces ⋮ Approximating Optimal feedback Controllers of Finite Horizon Control Problems Using Hierarchical Tensor Formats ⋮ Neural Parametric Fokker--Planck Equation ⋮ Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Learning-based importance sampling via stochastic optimal control for stochastic reaction networks ⋮ Mobility Estimation for Langevin Dynamics Using Control Variates ⋮ Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing ⋮ Learning Koopman eigenfunctions of stochastic diffusions with optimal importance sampling and ISOKANN ⋮ Stein variational gradient descent: many-particle and long-time asymptotics ⋮ Neural Control of Parametric Solutions for High-Dimensional Evolution PDEs ⋮ State-dependent Riccati equation feedback stabilization for nonlinear PDEs ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ Bayesian learning via neural Schrödinger-Föllmer flows ⋮ Approximative Policy Iteration for Exit Time Feedback Control Problems Driven by Stochastic Differential Equations using Tensor Train Format ⋮ Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning ⋮ Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs ⋮ Actor-Critic Method for High Dimensional Static Hamilton--Jacobi--Bellman Partial Differential Equations based on Neural Networks
Cites Work
- Adaptive importance sampling for control and inference
- Markov state models for rare events in molecular dynamics
- Optimal control as a graphical model inference problem
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Explicit solution of relative entropy weighted control
- Nonequilibrium Markov processes conditioned on large deviations
- Adapted solution of a backward stochastic differential equation
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- Importance sampling in path space for diffusion processes with slow-fast variables
- A stochastic control approach to reciprocal diffusion processes
- Continuous-time stochastic control and optimization with financial applications
- A variational representation for certain functionals of Brownian motion
- Connections between stochastic control and dynamic games
- A numerical scheme for BSDEs
- Multilayer feedforward networks are universal approximators
- The Deep Ritz Method: a deep learning-based numerical algorithm for solving variational problems
- Numerical probability. An introduction with applications to finance
- Conditioned stochastic differential equations: theory, examples and application to finance.
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Introduction to rare event simulation.
- Adaptive sampling of large deviations
- Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations
- Convergence rates for optimised adaptive importance samplers
- Non-convergence of stochastic gradient descent in the training of deep neural networks
- Solving the Kolmogorov PDE by means of deep learning
- Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients
- Adaptive importance sampling with forward-backward stochastic differential equations
- Optimal approximation of piecewise smooth functions using deep ReLU neural networks
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- Controlled sequential Monte Carlo
- A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations
- Variational Monte Carlo -- bridging concepts of machine learning and high-dimensional partial differential equations
- Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
- Machine learning for semi linear PDEs
- Deep relaxation: partial differential equations for optimizing deep neural networks
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Controlled Markov processes and viscosity solutions
- Optimal control of multiscale systems using reduced-order models
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Finite Difference Methods for Mean Field Games
- Kramers' law: Validity, derivations and generalisations
- Conditional brownian motion and the boundary limits of harmonic functions
- On Divergences and Informations in Statistics and Information Theory
- A Monte Carlo Method for Sensitivity Analysis and Parametric Optimization of Nonlinear Stochastic Systems
- Deep learning in high dimension: Neural network expression rates for generalized polynomial chaos expansions in UQ
- Importance Sampling, Large Deviations, and Differential Games
- Deep backward schemes for high-dimensional nonlinear PDEs
- Solving high-dimensional partial differential equations using deep learning
- Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case
- Solving high-dimensional optimal stopping problems using deep learning
- Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
- Stochastic Processes and Applications
- Applications of the Cross-Entropy Method to Importance Sampling and Optimal Control of Diffusions
- Variational approach to rare event simulation using least-squares regression
- Data assimilation: The Schrödinger perspective
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- Probabilistic Theory of Mean Field Games with Applications I
- Deep optimal stopping
- Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
- Stochastic Control Theory
- Brownian motion in a field of force and the diffusion model of chemical reactions
- Book Reviews
- Optimal Transport
- Approximation by superpositions of a sigmoidal function
- Probability theory. A comprehensive course
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
