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Value-Gradient Based Formulation of Optimal Control Problem and Machine Learning Algorithm

  • Published:2023-04-26 Issue:2 Volume:61 Page:973-994
  • ISSN:0036-1429
  • Container-title:SIAM Journal on Numerical Analysis
  • language:en
  • Short-container-title:SIAM J. Numer. Anal.

Author:

Bensoussan Alain12,Han Jiayue2ORCID,Yam Sheung Chi Phillip3,Zhou Xiang24

Affiliation:

1. Naveen Jindal School of Management, University of Texas at Dallas, Richardson, TX 75080-3021 USA.

2. School of Data Science, City University of Hong Kong, Kowloon, Hong Kong SAR.

3. Department of Statistics, Chinese University of Hong Kong, Shatin, NT, Hong Kong SAR.

4. Department of Mathematics, City University of Hong Kong, Kowloon, Hong Kong SAR.

Funder

National Science Foundation

HKUGC

Hong Kong Research Grants Council

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Numerical Analysis,Applied Mathematics,Computational Mathematics

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Boolean Programming for Optimal Stopping in American Option Pricing with Reinforcement Learning;2023 IEEE International Conference on Technology Management, Operations and Decisions (ICTMOD);2023-11-22

2. Data-Driven Tensor Train Gradient Cross Approximation for Hamilton–Jacobi–Bellman Equations;SIAM Journal on Scientific Computing;2023-09-13
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