3 papers
cs.LG2026
SNAPO: Smooth Neural Adjoint Policy Optimization for Optimal Control via Differentiable Simulation
Dmitri Goloubentsev, Natalija Karpichina
Many real-world problems require sequential decisions under uncertainty: when to inject or withdraw gas from storage, how to rebalance a pension portfolio each month, what temperat…
q-fin.CP2021
Adjoint Differentiation for generic matrix functions
Andrei Goloubentsev, Dmitri Goloubentsev, Evgeny Lakshtanov
We derive a formula for the adjoint of a square-matrix operation of the form , where is holomorphic in the neighborhood of each eigenvalue. We then apply…
q-fin.CP2019
Remarks on stochastic automatic adjoint differentiation and financial models calibration
Dmitri Goloubentsev, Evgeny Lakshtanov
In this work, we discuss the Automatic Adjoint Differentiation (AAD) for functions of the form , which often appear in the calibration of stocha…