Mean-field Langevin System, Optimal Control and Deep Neural Networks

Kaitong Hu; Anna Kazeykina; Zhenjie Ren

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arXiv · 1909.07278

Mean-field Langevin System, Optimal Control and Deep Neural Networks

Kaitong Hu·Anna Kazeykina·Zhenjie Ren

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Abstract

In this paper, we study a regularised relaxed optimal control problem and, in particular, we are concerned with the case where the control variable is of large dimension. We introduce a system of mean-field Langevin equations, the invariant measure of which is shown to be the optimal control of the initial problem under mild conditions. Therefore, this system of processes can be viewed as a continuous-time numerical algorithm for computing the optimal control. As an application, this result endorses the solvability of the stochastic gradient descent algorithm for a wide class of deep neural networks.

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BibTeX RIS

Kaitong Hu, Anna Kazeykina, Zhenjie Ren. 2019-09-16. Mean-field Langevin System, Optimal Control and Deep Neural Networks. https://arxiv.org/abs/1909.07278

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