Singular perturbations in stochastic optimal control with unbounded data
نویسندگان
چکیده
We study singular perturbations of a class two-scale stochastic control systems with unbounded data. The assumptions are designed to cover some relaxation problems for deep neural networks. construct effective Hamiltonian and initial data prove the convergence value function solution limit (effective) Cauchy problem parabolic equation HJB type. use methods probability, viscosity solutions homogenization.
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ژورنال
عنوان ژورنال: ESAIM: Control, Optimisation and Calculus of Variations
سال: 2023
ISSN: ['1262-3377', '1292-8119']
DOI: https://doi.org/10.1051/cocv/2023020