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20182026
most citedRectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems

35 citations · 132 across the 27 of their papers we have counts for

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Showing 2019Show all

3 papers · 1 filter

math.NA2019★ 13 cited

A neural network based policy iteration algorithm with global -superlinear convergence for stochastic games on domains

Kazufumi Ito, Christoph Reisinger, Yufei Zhang

In this work, we propose a class of numerical schemes for solving semilinear Hamilton-Jacobi-Bellman-Isaacs (HJBI) boundary value problems which arise naturally from exit time prob…

math.NA2019★ 35 cited

Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems

Christoph Reisinger, Yufei Zhang

In this paper, we establish that for a wide class of controlled stochastic differential equations (SDEs) with stiff coefficients, the value functions of corresponding zero-sum game…

math.OC2019★ 1 cited

Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems

Christoph Reisinger, Yufei Zhang

This paper proposes penalty schemes for a class of weakly coupled systems of Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) arising from stochastic hybrid control…