Gaining efficiency in deep policy gradient method for continuous-time optimal control problems

ArXiv ID: 2502.14141 “View on arXiv”

Authors: Unknown

Abstract

In this paper, we propose an efficient implementation of deep policy gradient method (PGM) for optimal control problems in continuous time. The proposed method has the ability to manage the allocation of computational resources, number of trajectories, and complexity of architecture of the neural network. This is, in particular, important for continuous-time problems that require a fine time discretization. Each step of this method focuses on a different time scale and learns a policy, modeled by a neural network, for a discretized optimal control problem. The first step has the coarsest time discretization. As we proceed to other steps, the time discretization becomes finer. The optimal trained policy in each step is also used to provide data for the next step. We accompany the multi-scale deep PGM with a theoretical result on allocation of computational resources to obtain a targeted efficiency and test our methods on the linear-quadratic stochastic optimal control problem.

Keywords: Deep Policy Gradient Method, Optimal Control, Neural Networks, Multi-scale Learning, Stochastic Optimal Control, General Financial Data / Optimal Control

Complexity vs Empirical Score

• Math Complexity: 8.5/10
• Empirical Rigor: 6.0/10
• Quadrant: Holy Grail
• Why: The paper employs advanced continuous-time stochastic calculus and deep learning theory, resulting in high math complexity. While it includes numerical experiments on a standard control problem and discusses computational efficiency, the empirical section is less extensive than a pure implementation paper, focusing more on methodology and theoretical foundations.

  flowchart TD
    subgraph Start ["Research Goal"]
        A["<b>Research Question</b><br>Efficient Deep PGM for<br>Continuous-Time Optimal Control"]
    end

    subgraph Methodology ["Methodology: Multi-Scale Deep PGM"]
        B["<b>Step 1: Coarse Discretization</b><br>Low resolution time grid<br>Initial policy learning"]
        C["<b>Step 2: Finer Discretization</b><br>Refined time grid<br>Transfer learning from Step 1"]
        D["<b>Resource Allocation Theory</b><br>Optimize computation<br>trajectories & network complexity"]
    end

    subgraph Process ["Computational Process"]
        E["<b>Neural Network Training</b><br>Policy Gradient Method<br>Iterative optimization"]
    end

    subgraph Outcomes ["Key Findings"]
        F["<b>Outcomes</b><br>Efficient continuous-time solver<br>Multi-scale architecture<br>Tested on LQ stochastic control"]
    end

    A --> B
    B -- "Data Transfer" --> C
    C --> D
    D --> E
    E -- "Trained Policies" --> F
    
    style Start fill:#e1f5e1,stroke:#2e7d32
    style Methodology fill:#e3f2fd,stroke:#1565c0
    style Process fill:#fff3e0,stroke:#ef6c00
    style Outcomes fill:#fce4ec,stroke:#c2185b