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math.OC2025
Mean-Field Generalisation Bounds for Learning Controls in Stochastic Environments
Boris Baros, Samuel N. Cohen, Christoph Reisinger
We consider a data-driven formulation of the classical discrete-time stochastic control problem. Our approach exploits the natural structure of many such problems, in which signifi…
math.OC2025
Neural Actor-Critic Methods for Hamilton-Jacobi-Bellman PDEs: Asymptotic Analysis and Numerical Studies
Samuel N. Cohen, Jackson Hebner, Deqing Jiang +1
We mathematically analyze and numerically study an actor-critic machine learning algorithm for solving high-dimensional Hamilton-Jacobi-Bellman (HJB) partial differential equations…