2020
DOI: 10.3390/sym13010014
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Deep Learning and Mean-Field Games: A Stochastic Optimal Control Perspective

Abstract: We provide a rigorous mathematical formulation of Deep Learning (DL) methodologies through an in-depth analysis of the learning procedures characterizing Neural Network (NN) models within the theoretical frameworks of Stochastic Optimal Control (SOC) and Mean-Field Games (MFGs). In particular, we show how the supervised learning approach can be translated in terms of a (stochastic) mean-field optimal control problem by applying the Hamilton–Jacobi–Bellman (HJB) approach and the mean-field Pontryagin maximum pr… Show more

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Cited by 6 publications
(6 citation statements)
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“…Many applications have been developed, such as the zoom meeting, Google meets, Microsoft teams, Skype, etc. [23]. All of these applications can accommodate hundreds of people at a time [24,25].…”
Section: Introductionmentioning
confidence: 99%
“…Many applications have been developed, such as the zoom meeting, Google meets, Microsoft teams, Skype, etc. [23]. All of these applications can accommodate hundreds of people at a time [24,25].…”
Section: Introductionmentioning
confidence: 99%
“…Following [9,10], the SL problem aims at estimating the function F : X → Y, commonly known as the Oracle. The space X can be identified with a subset of R d related to input arrays (such as images, string texts, or time series), while Y is the corresponding target set.…”
Section: The Supervised Learning Paradigmmentioning
confidence: 99%
“…Moreover, the training of the NN is based on the correspondence between the empirical measure of neurons µ N and the function f N that is approximated by the NN. Specifically, it has been proved that training via gradient descent of an over-parametrised one-hidden-layer NN with infinite width is equivalent to gradient flow in Wasserstein space [2,9,14,15]. Conversely, in the small learning rate regime, the training is equivalent to an SDE, see, e.g., [16].…”
Section: Empirical Risk Minimizationmentioning
confidence: 99%
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“…For this we require stochastic optimal control and especially mean-field type optimal control [11], and, in this paradigm, the solution to the optimal control problem satisfies a system of partial differential equations instead of ordinary differential equations. The idea of using stochastic optimal control for deep learning was studied in [27,88], however, the main difference is we use elimination theorem of [24] to reduce the system of partial differential equations to hydrodynamic equation with advected quantity.…”
Section: Stochastic Optimal Control For Deep Learningmentioning
confidence: 99%