Mean-field neural networks-based algorithms for McKean-Vlasov control problems *
Optimization and Control
2024-03-20 v2 Computational Finance
Machine Learning
Abstract
This paper is devoted to the numerical resolution of McKean-Vlasov control problems via the class of mean-field neural networks introduced in our companion paper [25] in order to learn the solution on the Wasserstein space. We propose several algorithms either based on dynamic programming with control learning by policy or value iteration, or backward SDE from stochastic maximum principle with global or local loss functions. Extensive numerical results on different examples are presented to illustrate the accuracy of each of our eight algorithms. We discuss and compare the pros and cons of all the tested methods.
Cite
@article{arxiv.2212.11518,
title = {Mean-field neural networks-based algorithms for McKean-Vlasov control problems *},
author = {Huyên Pham and Xavier Warin},
journal= {arXiv preprint arXiv:2212.11518},
year = {2024}
}