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math.OC2025
Consensus Based Stochastic Control
Liyao Lyu, Jingrun Chen
We propose a gradient-free deep reinforcement learning algorithm to solve high-dimensional, finite-horizon stochastic control problems. Although the recently developed deep reinfor…
math.OC2020★ 5 cited
A consensus-based global optimization method with adaptive momentum estimation
Jingrun Chen, Shi Jin, Liyao Lyu
Objective functions in large-scale machine-learning and artificial intelligence applications often live in high dimensions with strong non-convexity and massive local minima. First…