RBMSolver

Drift Control of High-Dimensional RBM: A Computational Method Based on Neural Networks

requirement: Numpy and Tensorflow 2

Usage:

python3 main.py --config_path=configs/RBMControlDP1drep.json 

RBMControlDP1drep.json can be replaced to other json file.

After running once, the data will be automatically dumped. Then, one can use the following commend

python3 main.py --config_path=configs/RBMControlDP1drep.json --dump=False

Configs

TS or thin stream stands for linear cost structure. DP or dynamic pricing stand for quadratic cost structure.

The code is adapted from https://github.com/MoZhou1995/DeepPDE_ActorCritic.