English

SNAPO: Smooth Neural Adjoint Policy Optimization for Optimal Control via Differentiable Simulation

Machine Learning 2026-05-08 v1 Optimization and Control Computational Finance Mathematical Finance Risk Management

Abstract

Many real-world problems require sequential decisions under uncertainty: when to inject or withdraw gas from storage, how to rebalance a pension portfolio each month, what temperature profile to run through a pharmaceutical reactor chain. Dynamic programming solves small instances exactly but scales exponentially in state dimensions. Black-box reinforcement learning handles high-dimensional states but trains slowly and produces no sensitivities. We introduce SNAPO (Smooth Neural Adjoint Policy Optimization), a framework that embeds a neural policy inside a known, differentiable simulator, replaces hard constraints with smooth approximations, and computes exact gradients of the objective with respect to all policy parameters and all inputs in a single adjoint pass. We demonstrate SNAPO on three domains: natural gas storage (training in under a minute, 365 forward curve sensitivities at no additional cost per sensitivity), pension fund asset-liability management (6.5x-200x sensitivity speedup over bump-and-revalue, scaling with the number of risk factors), and pharmaceutical manufacturing (cross-unit sensitivities through a 4-unit process chain, with 20 ICH Q8 regulatory sensitivities from 5 adjoint passes in 74.5 milliseconds). All sensitivities are produced by the same backward pass that trains the policy, at a cost proportional to one reverse pass regardless of how many sensitivities are computed.

Keywords

Cite

@article{arxiv.2605.06570,
  title  = {SNAPO: Smooth Neural Adjoint Policy Optimization for Optimal Control via Differentiable Simulation},
  author = {Dmitri Goloubentsev and Natalija Karpichina},
  journal= {arXiv preprint arXiv:2605.06570},
  year   = {2026}
}

Comments

27 pages, 8 tables. Three domains: natural gas storage, pension fund ALM, pharmaceutical manufacturing. Benchmark code and trained policies available on request

R2 v1 2026-07-01T12:55:36.751Z