most citedActor-Critic Method for High Dimensional Static Hamilton--Jacobi--Bellman Partial Differential Equations based on Neural Networks

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math.OC2021★ 62 cited

Actor-Critic Method for High Dimensional Static Hamilton--Jacobi--Bellman Partial Differential Equations based on Neural Networks

Mo Zhou, Jiequn Han, Jianfeng Lu

We propose a novel numerical method for high dimensional Hamilton--Jacobi--Bellman (HJB) type elliptic partial differential equations (PDEs). The HJB PDEs, reformulated as optimal…