Deep neural networks algorithms for stochastic control problems on nite horizon, Part 2: numerical applications - A. Bachouch, C. Huré, N. Langrené, H. Pham

18
Jan

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 di erent algorithms, namely control learning by performance iteration (algorithms NNcontPI and ClassifPI), control learning by hybrid iteration (algorithms Hybrid-Now and Hybrid-LaterQ), on the 100-dimensional nonlinear PDEs examples from [6] and on quadratic Backward Stochastic Di erential equations as in [5]. We also provide numerical results for an option hedging problem in finance, and energy storage problems arising in the valuation of gas storage and in microgrid management.

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