Tag Méthodes numériques

We propose new machine learning schemes for solving high dimensional nonlinear partial differential equations (PDEs). Relying on the classical backward stochastic differential equation (BSDE) representation of PDEs, our algorithms estimate ...

This paper presents several numerical applications of deep learning-based algorithms that have been analyzed in [11]. Numerical and comparative tests using TensorFlow illustrate the performance of our different algorithms, namely ...

This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming (DP). Diffrently from the classical approximate DP approach, we rst approximate the optimal policy ...