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20132019
most citedDeep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis

97 citations · 117 across the 5 of their papers we have counts for

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math.OC2018★ 20 cited

Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications

Achref Bachouch, Côme Huré, Nicolas Langrené +1

This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18]. Numerical and comparative tests using TensorFlow illustr…

math.PR2018★ 97 cited

Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis

Côme Huré, Huyên Pham, Achref Bachouch +1

This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming. Unlike classical approximate dynamic programming app…