Solving Stochastic Optimal Control Problem via Stochastic Maximum Principle with Deep Learning Method
Shaolin Ji, Shigē Péng, Ying Peng, Xichuan Zhang
Topics & Concepts
MathematicsOptimal controlMaximum principleStochastic controlStochastic differential equationNonlinear systemHamiltonian (control theory)Mathematical optimizationPartial differential equationRepresentation (politics)Applied mathematicsMathematical analysisPolitical scienceQuantum mechanicsPoliticsPhysicsLawModel Reduction and Neural NetworksStochastic processes and financial applicationsMarkov Chains and Monte Carlo Methods