A mean-field optimal control formulation of deep learning

Weinan E, Jiequn Han, Qianxiao Li

Research output: Contribution to journalArticle

13 Scopus citations

Abstract

Recent work linking deep neural networks and dynamical systems opened up new avenues to analyze deep learning. In particular, it is observed that new insights can be obtained by recasting deep learning as an optimal control problem on difference or differential equations. However, the mathematical aspects of such a formulation have not been systematically explored. This paper introduces the mathematical formulation of the population risk minimization problem in deep learning as a mean-field optimal control problem. Mirroring the development of classical optimal control, we state and prove optimality conditions of both the Hamilton–Jacobi–Bellman type and the Pontryagin type. These mean-field results reflect the probabilistic nature of the learning problem. In addition, by appealing to the mean-field Pontryagin’s maximum principle, we establish some quantitative relationships between population and empirical learning problems. This serves to establish a mathematical foundation for investigating the algorithmic and theoretical connections between optimal control and deep learning.

Original languageEnglish (US)
Article number10
JournalResearch in Mathematical Sciences
Volume6
Issue number1
DOIs
StatePublished - Mar 2019

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Mathematics (miscellaneous)
  • Computational Mathematics
  • Applied Mathematics

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