Viscosity-Informed Generative Actor-Critic for High-Dimensional Stochastic Optimal Control

Alen E. Golpashin, Gokul Puthumanaillam, Melkior Ornik +1

We introduce a method for approximating viscosity solutions of stationary degenerate elliptic Hamilton--Jacobi--Bellman equations on bounded domains arising in stochastic exit-time…