Temporal Difference Learning for High-Dimensional PIDEs with Jumps
Lu, Liwei, Guo, Hailong, Yang, Xu, Zhu, Yi
–arXiv.org Artificial Intelligence
In this paper, we propose a deep learning framework for solving high-dimensional partial integro-differential equations (PIDEs) based on the temporal difference learning. We introduce a set of Levy processes and construct a corresponding reinforcement learning model. To simulate the entire process, we use deep neural networks to represent the solutions and non-local terms of the equations. Subsequently, we train the networks using the temporal difference error, termination condition, and properties of the non-local terms as the loss function. The relative error of the method reaches O(10^{-3}) in 100-dimensional experiments and O(10^{-4}) in one-dimensional pure jump problems. Additionally, our method demonstrates the advantages of low computational cost and robustness, making it well-suited for addressing problems with different forms and intensities of jumps.
arXiv.org Artificial Intelligence
Jul-6-2023
- Country:
- Asia > China
- Europe
- Portugal > Braga
- Braga (0.04)
- United Kingdom > England
- Cambridgeshire > Cambridge (0.04)
- Portugal > Braga
- North America > United States
- California > Santa Barbara County > Santa Barbara (0.14)
- Oceania > Australia (0.04)
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- Research Report (0.82)
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