Deep Neural Networks for High-Dimensional PDEs in Stochastic Control and Games

13 May 2021
Yufei Zhang

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In this talk, we discuss the feasibility of algorithms based on deep artificial neural networks (DNN) for the solution of high-dimensional PDEs, such as those arising from stochastic control and games. In the first part, we show that in certain cases, DNNs can break the curse of dimensionality in representing high-dimensional value functions of stochastic control problems. We then exploit policy iteration to reduce the associated nonlinear PDEs into a sequence of linear PDEs, which are then further approximated via a multilayer feedforward neural network ansatz. We establish that in suitable settings the numerical solutions and their derivatives converge globally, and further demonstrate that this convergence is superlinear, by interpreting the algorithm as an inexact Newton iteration. Numerical experiments on Zermelo's navigation problem and on consensus control of interacting particle systems are presented to demonstrate the effectiveness of the method. This is joint work with Kazufumi Ito, Christoph Reisinger and Wolfgang Stockinger.

  • PDE CDT Lunchtime Seminar