arXiv:2508. 01718v2 Announce Type: replace Abstract: We develop a physics-informed policy-iteration method for stationary second-order Hamilton--Jacobi--Bellman equations arising in continuous-time stochastic control.
By Yeongjong Kim, Minseok Kim, Yeoneung Kim, Namkyeong Cho
The paper introduces a mesh‑free policy iteration framework that blends classical dynamic programming with physics‑informed neural networks (PINNs) to solve high‑dimensional, nonconvex Hamilton–Jacobi–Isaacs (HJI) equations. The method alternates between solving linear second‑order PDEs under fixed feedback policies and updating controls via pointwise minimax optimization using automatic differentiation. The authors prove local uniform convergence of the value function iterates to the unique viscosity solution under standard Lipschitz and uniform ellipticity assumptions, and demonstrate the approach’s accuracy and scalability in two‑, five‑, and ten‑dimensional stochastic games, outperforming direct PINN solvers.
By Hee Jun Yang, Minjung Gim, Yeoneung Kim
arXiv:2606. 01122v1 Announce Type: new Abstract: We propose a five-step diagnostic protocol for residual-trained neural HJB-PIDE solvers with control-dependent L\'evy jumps, targeting a general failure mode of neural PDE methods: a learned solution can match headline scalar diagnostics while miscomputing an operator inside its training loss.
By R. Drissi
arXiv:2606. 26498v1 Announce Type: cross Abstract: This paper addresses model-free continuous-time mean-field control in a setting where the population dynamics evolve continuously according to an unknown McKean-Vlasov stochastic differential equation, while only discrete-time transition data are available.
By Erhan Bayraktar, Martin Hernandez, Qinxin Yan, Yuhua Zhu
This paper addresses model-free continuous-time mean-field control in a setting where the population dynamics evolve continuously according to an unknown McKean-Vlasov stochastic differential equation, while only discrete-time transition data are available. In the model-based formulation, policy evaluation is naturally described by a stationary Hamilton-Jacobi-Bellman equation on $\mathcal P_2(\mathbb R^d)$, but this equation involves the drift and diffusion coefficients of the controlled McKean-Vlasov dynamics, which are not identifiable when only discrete-time data are available.
arXiv:2607. 19628v1 Announce Type: new Abstract: In this work we investigate reinforcement learning (RL) as a framework for the robust control of parametrized dynamical systems in presence of measurements and model uncertainties.
By Nicol\`o Botteghi, Gabriele Pascali, Urban Fasel, Andrea Manzoni