相关论文: Neural Actor-Critic Methods for Hamilton-Jacobi-Be…

We consider numerical resolution of principal-agent (PA) problems in continuous time. We formulate a generic PA model with continuous and lump payments and a multi-dimensional strategy of the agent. To tackle the resulting…

We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac representation in [12] by means of control…

Using a recently introduced representation of the second order adjoint state as the solution of a function-valued backward stochastic partial differential equation (SPDE), we calculate the viscosity super- and subdifferential of the value…

An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short). This kind of cost functional can cover the general…

This paper introduces a new type of second order stochastic backward Hamilton-Jacobi-Bellman (HJB) equations for optimal stochastic control problems with a currently observable but non-predicable parameter process, in addition to the…

We establish a well-posedness and error-estimation framework that solves Hamilton-Jacobi equations by minimizing the least-squares residual of monotone finite-difference discretizations. This approach also applies naturally to second-order…

We propose a finite-dimensional control-based method to approximate solution operators for evolutional partial differential equations (PDEs), particularly in high-dimensions. By employing a general reduced-order model, such as a deep neural…

The approximation of solutions to second order Hamilton--Jacobi--Bellman (HJB) equations by deep neural networks is investigated. It is shown that for HJB equations that arise in the context of the optimal control of certain Markov…

This article approaches deterministic filtering via an application of the min-plus linearity of the corresponding dynamic programming operator. This filter design method yields a set-valued state estimator for discrete-time nonlinear…

Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of viscosity solution, featured by absence of B-continuity, is…

We consider a stochastic optimal control problem governed by a stochastic differential equation with delay in the control. Using a result of existence and uniqueness of a sufficiently regular mild solution of the associated…

In this paper we study the fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equation for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is…

Hamilton-Jacobi partial differential equations (HJ PDEs) have deep connections with a wide range of fields, including optimal control, differential games, and imaging sciences. By considering the time variable to be a higher dimensional…

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…

This paper addresses a continuous-time continuous-space chance-constrained stochastic optimal control (SOC) problem via a Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE). Through Lagrangian relaxation, we convert the…

We consider the optimal control of solutions of first order Hamilton-Jacobi equations, where the Hamiltonian is convex with linear growth. This models the problem of steering the propagation of a front by constructing an obstacle. We prove…

Stochastic optimal control problems for Hamiltonian dynamics on graphs have wide-ranging applications in mechanics and quantum field theory, particularly in systems with graph-based structures. In this paper, we establish the existence and…

Actor-critic (AC) methods have exhibited great empirical success compared with other reinforcement learning algorithms, where the actor uses the policy gradient to improve the learning policy and the critic uses temporal difference learning…

We develop a computationally efficient learning-based forward-backward stochastic differential equations (FBSDE) controller for both continuous and hybrid dynamical (HD) systems subject to stochastic noise and state constraints. Solutions…

Actor-critic methods are widely used in offline reinforcement learning practice, but are not so well-understood theoretically. We propose a new offline actor-critic algorithm that naturally incorporates the pessimism principle, leading to…