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most citedSOC-MartNet: A Martingale Neural Network for the Hamilton-Jacobi-Bellman Equation without Explicit inf H in Stochastic Optimal Controls

1 citations · 1 across the 4 of their papers we have counts for

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math.OC2024

Martingale deep neural network for very high-dimensional stochastic optimal controls

Wei Cai, Shuixin Fang, Wenzhong Zhang +1

We propose a martingale deep learning method for very high-dimensional stochastic optimal control problems (SOCPs) via their associated Hamilton--Jacobi--Bellman equations and the…

math.NA2024★ 1 cited

SOC-MartNet: A Martingale Neural Network for the Hamilton-Jacobi-Bellman Equation without Explicit inf H in Stochastic Optimal Controls

Wei Cai, Shuixin Fang, Tao Zhou

In this paper, we propose a martingale-based neural network, SOC-MartNet, for solving high-dimensional Hamilton-Jacobi-Bellman (HJB) equations where no explicit expression is neede…