Deep Learning Methods for Mean Field Control Problems With Delay

We consider a general class of mean field control problems described by stochastic delayed differential equations of McKean–Vlasov type. Two numerical algorithms are provided based on deep learning techniques, one is to directly parameterize the optimal control using neural networks, the other is ba...

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Bibliographic Details

Published in:	Frontiers in applied mathematics and statistics Vol. 6
Main Authors:	Fouque, Jean-Pierre, Zhang, Zhaoyu
Format:	Journal Article
Language:	English
Published:	Frontiers Media S.A 12.05.2020
Subjects:	deep learning delay McKean-Vlasov mean field control stochastic maximum principal
ISSN:	2297-4687, 2297-4687
Online Access:	Get full text
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