The proper setting of contention window (CW) values has a significant impact on the efficiency of Wi-Fi networks. Unfortunately, the standard method used by 802.11 networks is not scalable enough to maintain stable throughput for an increasing number of stations, yet it remains the default method of channel access for 802.11ax single-user transmissions. Therefore, we propose a new method of CW control, which leverages deep reinforcement learning (DRL) principles to learn the correct settings under different network conditions. Our method, called centralized contention window optimization with DRL (CCOD), supports two trainable control algorithms: deep Q-network (DQN) and deep deterministic policy gradient (DDPG). We demonstrate through simulations that it offers efficiency close to optimal (even in dynamic topologies) while keeping computational cost low.