# Deep multitask neural networks for solving some stochastic optimal control problems

arXiv: https://arxiv.org/abs/2401.12923 · HTML: https://mlsanity.com/paper/2401.12923/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- Builds on 11 of its 27 references that are in the map.
- First posted on arXiv 23 Jan 2024.

## Builds on (most cited first, 11 of 11)

- [Adam: A Method for Stochastic Optimization](https://mlsanity.com/paper/1412.6980/) (2014)
- [Multi-Task Learning Using Uncertainty to Weigh Losses for Scene Geometry and Semantics](https://mlsanity.com/paper/1705.07115/) (2017)
- [GradNorm: Gradient Normalization for Adaptive Loss Balancing in Deep Multitask Networks](https://mlsanity.com/paper/1711.02257/) (2017)
- [End-to-End Multi-Task Learning with Attention](https://mlsanity.com/paper/1803.10704/) (2018)
- [Multi-Task Learning with Deep Neural Networks: A Survey](https://mlsanity.com/paper/2009.09796/) (2020)
- [Multi-Task Deep Neural Networks for Natural Language Understanding](https://mlsanity.com/paper/1901.11504/) (2019)
- [Multi-Task Reinforcement Learning with Soft Modularization](https://mlsanity.com/paper/2003.13661/) (2020)
- [Reasonable Effectiveness of Random Weighting: A Litmus Test for Multi-Task Learning](https://mlsanity.com/paper/2111.10603/) (2021)
- [Multi-Task Learning in Natural Language Processing: An Overview](https://mlsanity.com/paper/2109.09138/) (2021)
- [Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications](https://mlsanity.com/paper/1812.05916/) (2018)
- [Mitigating Negative Transfer in Multi-Task Learning with Exponential Moving Average Loss Weighting Strategies](https://mlsanity.com/paper/2211.12999/) (2022)

## Built on by (most cited first, 1 of 1)

- [A new Input Convex Neural Network with application to options pricing](https://mlsanity.com/paper/2411.12854/) (2024)

## Abstract (arXiv)

Most existing neural network-based approaches for solving stochastic optimal control problems using the associated backward dynamic programming principle rely on the ability to simulate the underlying state variables. However, in some problems, this simulation is infeasible, leading to the discretization of state variable space and the need to train one neural network for each data point. This approach becomes computationally inefficient when dealing with large state variable spaces. In this paper, we consider a class of this type of stochastic optimal control problems and introduce an effective solution employing multitask neural networks. To train our multitask neural network, we introduce a novel scheme that dynamically balances the learning across tasks. Through numerical experiments on real-world derivatives pricing problems, we prove that our method outperforms state-of-the-art approaches.