arXiv:2607.04278v1 Announce Type: cross Abstract: We propose the first deep learning algorithm, the Certainty Equivalent Learning (CEL) algorithm, for solving high-dimensional discrete-time dynamic programming problems with recursive utility. Dynamic programming with recursive utility is numerically challenging because the recursive utility does not have an explicit representation and the Bellman equation contains a certainty equivalent that is difficult to evaluate. The CEL algorithm learns this certainty-equivalent value directly with neural networks and jointly approximates value functions,
Source: arXiv cs.LG — read the full report at the original publisher.