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cs.LG2020★ 1 cited
A Backward SDE Method for Uncertainty Quantification in Deep Learning
Richard Archibald, Feng Bao, Yanzhao Cao +1
We develop a probabilistic machine learning method, which formulates a class of stochastic neural networks by a stochastic optimal control problem. An efficient stochastic gradient…
math.OC2020
An efficient numerical algorithm for solving data driven feedback control problems
Richard Archibald, Feng Bao, Jiongmin Yong +1
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an Itô type stochastic differential equatio…