2 papers
q-fin.CP2026
Deep Learning for Dynamic Programming with Recursive Utility Using First-order Conditions
Xianhua Peng, Wu Guo, Songyan Wang +1
This paper proposes the certainty-equivalent first-order learning (CEFOL) algorithm, a deep learning algorithm for solving discrete-time dynamic programming problems with recursive…
q-fin.CP2026
Deep Learning for Dynamic Programming with Recursive Utility
Xianhua Peng, Wu Guo
We propose the first deep learning algorithm, the Certainty Equivalent Learning (CEL) algorithm, for solving high-dimensional discrete-time dynamic programming problems with recurs…