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A Forward Propagation Algorithm for Online Optimization of Nonlinear Stochastic Differential Equations.

Ziheng WangJustin A. Sirignano
Published in: CoRR (2022)
Keyphrases
  • dynamic programming
  • learning algorithm
  • k means
  • expectation maximization
  • cost function
  • objective function
  • optimal solution
  • mathematical model
  • stochastic differential equations
  • brownian motion