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 ...
Tag Méthodes numériques
18
Jan
Deep neural networks algorithms for stochastic control problems on finite horizon, Part 2: numerical applications - A. Bachouch, C. Huré, N. Langrené, H. Pham
in Publications, Rapports
18
Jan
Deep neural networks algorithms for stochastic control problems on finite horizon, part I : convergence analysis - C. Hure, H. Pham, A. Bachouch and N. Langrené
in Publications, Rapports
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 ...
Page 2 of 2