A Derivative-Free Martingale Neural Network Soc-Martnet For The Hamilton-Jacobi-Bellman Equations In Stochastic Optimal Controls
<|reference_start|>A Derivative-Free Martingale Neural Network Soc-Martnet For The Hamilton-Jacobi-Bellman Equations In Stochastic Optimal Controls: In this paper, we propose an efficient derivative-free version of a martingale neural network SOC-MartNet proposed in Cai et al. [2] for solving high-dimensional Hamilton-Jacobi-Bellman (HJB) equations and stochastic optimal control problems (SOCPs) with controls on both drift and volatility. The solution of the HJB equation consists of two steps: (1) finding the optimal control from the value function, and (2) deriving the value function from a linear PDE characterized by the optimal control. The linear PDE is reformulated into a weak form of a new martingale formulation from the original SOC-MartNet where all temporal and spatial derivatives are replaced by an univariate, first-order random finite difference operator approximation, giving the derivative free version of the SOC-MartNet. Then, the optimal feedback control is identified by minimizing the mean of the value function, thereby avoiding the need for pointwise minimization on the Hamiltonian. Finally, the optimal control and value function are approximated by neural networks trained via adversarial learning using the derivative-free formulation. This method eliminates the reliance on automatic differentiation for computing temporal and spatial derivatives, offering significant efficiency in solving high-dimensional HJB equations and SOCPs.<|reference_end|>
@article{cai2024a,
    title={A Derivative-Free Martingale Neural Network Soc-Martnet For The
  Hamilton-Jacobi-Bellman Equations In Stochastic Optimal Controls},
    author={Wei Cai, Shuixin Fang, Wenzhong Zhang, and Tao Zhou},
    journal={arXiv preprint arXiv:2408.14395},
    year={2024},
    archivePrefix={arXiv},
    eprint={2408.14395},
    primaryClass={math.OC cs.NA math.NA}
}