arxivq-fin.CPecon.EMmath.OCstat.ML2026-07-10
Deep Learning for Dynamic Programming with Recursive Utility Using First-order Conditions
Xianhua Peng, Wu Guo, Songyan Wang, Jianfei Zhu
This paper proposes the certainty-equivalent first-order learning (CEFOL) algorithm, a deep learning algorithm for solving discrete-time dynamic programming problems with recursive utility. Dynamic programming with recursive utility is challenging because nonlinear certainty equi…