Department of Mathematics - Special Colloquium - Martingale deep neural networks for very high dimensional quasi-linear PDEs and stochastic optimal controls

In this talk, we will present a highly parallel and derivative-free martingale neural network method, based on the probability theory of Varadhan’s martingale formulation of PDEs, to solve Hamilton-Jacobi-Bellman (HJB) equations arising from stochastic optimal control problems (SOCPs), as well as general quasilinear parabolic partial differential equations (PDEs). In both cases, the PDEs are reformulated into a martingale problem such that loss functions will not require the computation of the gradient or Hessian matrix of the PDE solution, and can be computed in parallel in both time and spatial domains. Moreover, the martingale conditions for the PDEs are enforced using a Galerkin method realized with adversarial learning techniques, eliminating the need for direct computation of the conditional expectations associated with the martingale property. For SOCPs, a derivative-free implementation of the maximum principle for optimal controls is also introduced. The numerical results demonstrate the effectiveness and efficiency of the proposed method, which is capable of solving HJB and quasilinear parabolic PDEs accurately and fast in dimensions as high as 100,000.