Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Value Function Estimators for Feynman-Kac Forward-Backward SDEs in
  Stochastic Optimal Control   Two novel numerical estimators are proposed for solving forward-backward
stochastic differential equations (FBSDEs) appearing in the Feynman-Kac
representation of the value function in stochastic optimal control problems. In
contrast to the current numerical approaches which are based on the
discretization of the continuous-time FBSDE, we propose a converse approach,
namely, we obtain a discrete-time approximation of the on-policy value
function, and then we derive a discrete-time estimator that resembles the
continuous-time counterpart. The proposed approach allows for the construction
of higher accuracy estimators along with error analysis. The approach is
applied to the policy improvement step in reinforcement learning. Numerical
results and error analysis are demonstrated using (i) a scalar nonlinear
stochastic optimal control problem and (ii) a four-dimensional linear quadratic
regulator (LQR) problem. The proposed estimators show significant improvement
in terms of accuracy in both cases over Euler-Maruyama-based estimators used in
competing approaches. In the case of LQR problems, we demonstrate that our
estimators result in near machine-precision level accuracy, in contrast to
previously proposed methods that can potentially diverge on the same problems.

29
The categories of this paper are: funct-an
27
The categories of this paper are: comp-gas
12
The categories of this paper are: nucl-th
9
The categories of this paper are: nlin
11
The categories of this paper are: hep-lat
20
The categories of this paper are: acc-phys
3
The categories of this paper are: physics
4
The categories of this paper are: cond-mat
5
The categories of this paper are: gr-qc
36
The categories of this paper are: cmp-lg
6
The categories of this paper are: astro-ph
22
The categories of this paper are: chao-dyn
37
The categories of this paper are: supr-con
32
The categories of this paper are: atom-ph
24
The categories of this paper are: dg-ga
35
The categories of this paper are: mtrl-th