Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space

11 May 2020Nikolas NüskenLorenz Richter

Optimal control of diffusion processes is intimately connected to the problem of solving certain Hamilton-Jacobi-Bellman equations. Building on recent machine learning inspired approaches towards high-dimensional PDEs, we investigate the potential of iterative diffusion optimisation techniques, in particular considering applications in importance sampling and rare event simulation... (read more)

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