相关论文: Generative Modelling with Tensor Train approximati…

Designing optimal controllers for nonlinear dynamical systems often relies on reinforcement learning and adaptive dynamic programming (ADP) to approximate solutions of the Hamilton Jacobi Bellman (HJB) equation. However, these methods…

We present a method for collisionless multi-agent path planning using the Hamilton-Jacobi-Bellman equation. Because the method is rooted in optimal control theory and partial differential equations, it avoids the need for hierarchical…

By building upon the recent theory that established the connection between implicit generative modeling (IGM) and optimal transport, in this study, we propose a novel parameter-free algorithm for learning the underlying distributions of…

We mathematically analyze and numerically study an actor-critic machine learning algorithm for solving high-dimensional Hamilton-Jacobi-Bellman (HJB) partial differential equations from stochastic control theory. The architecture of the…

We show that non-dominated sorting of a sequence of i.i.d. random variables in Euclidean space has a continuum limit that corresponds to solving a Hamilton-Jacobi equation involving the probability density function of the random variables.…

Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…

We study the problem of generating control laws for systems with unknown dynamics. Our approach is to represent the controller and the value function with neural networks, and to train them using loss functions adapted from the…

The goals of this work are two-fold: firstly, to propose a new theoretical framework for representing random fields on a large class of multidimensional geometrical domain in the tensor train format; secondly, to develop a new algorithm…

This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of direct equilibrium analysis, we propose a vanishing…

We consider an approximate computation of several minimal eigenpairs of large Hermitian matrices which come from high--dimensional problems. We use the tensor train format (TT) for vectors and matrices to overcome the curse of…

Simulating the time-evolution of quantum mechanical systems is BQP-hard and expected to be one of the foremost applications of quantum computers. We consider classical algorithms for the approximation of Hamiltonian dynamics using…

We establish the convergence of the deep Galerkin method (DGM), a deep learning-based scheme for solving high-dimensional nonlinear PDEs, for Hamilton-Jacobi-Bellman (HJB) equations that arise from the study of mean field control problems…

In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural networks: one to represent the optimal policy and the other to…

In this work we propose an efficient black-box solver for two-dimensional stationary diffusion equations, which is based on a new robust discretization scheme. The idea is to formulate an equation in a certain form without derivatives with…

This paper, which is the natural continuation of a previous paper by the same authors, studies a class of optimal control problems with state constraints where the state equation is a differential equation with delays. This class includes…

The memory capacity of embedding tables in deep learning recommendation models (DLRMs) is increasing dramatically from tens of GBs to TBs across the industry. Given the fast growth in DLRMs, novel solutions are urgently needed, in order to…

In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized by a stochastic process) transaction costs through the…

In this paper, training a neural network is identified, exactly, as a search through Hamilton--Jacobi initial-value problems: each gradient step selects the initial data of a viscous Hamilton--Jacobi equation whose Hopf--Cole propagator…

Given a set of vectors (the data) in a Hilbert space H, we prove the existence of an optimal collection of subspaces minimizing the sum of the square of the distances between each vector and its closest subspace in the collection. This…

Tensor Train (TT) decompositions provide a powerful framework to compress grid-structured data, such as sampled function values, on regular Cartesian grids. Such high compression, in turn, enables efficient high-dimensional computations.…