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Solving stochastic optimal control problem via stochastic maximum principle with deep learning method

Authors :
Ji, Shaolin
Peng, Shige
Peng, Ying
Zhang, Xichuan
Publication Year :
2020

Abstract

In this paper, we aim to solve the high dimensional stochastic optimal control problem from the view of the stochastic maximum principle via deep learning. By introducing the extended Hamiltonian system which is essentially an FBSDE with a maximum condition, we reformulate the original control problem as a new one. Three algorithms are proposed to solve the new control problem. Numerical results for different examples demonstrate the effectiveness of our proposed algorithms, especially in high dimensional cases. And an important application of this method is to calculate the sub-linear expectations, which correspond to a kind of fully nonlinear PDEs.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2007.02227
Document Type :
Working Paper