A supervised learning scheme for computing Hamilton-Jacobi equation via density coupling
Blow-up in context of PDEs (35B44) Hamilton-Jacobi equations (35F21) Special integral transforms (Legendre, Hilbert, etc.) (44A15) Hamilton-Jacobi equations in optimal control and differential games (49L12) Optimal transportation (49Q22) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Numerical methods for Hamiltonian systems including symplectic integrators (65P10) Artificial neural networks and deep learning (68T07)
The authors discuss a numerical method to solve (forward) first-order Hamilton-Jacobi equation HJ with a convex Hamiltonian \(H\) based on its geometric interpretation via optimal transportation. The particle formulation of Wasserstein flow is solved designing the supervised learning scheme. Here, the loss function is taken as the Bregman divergence of \(H\). This scheme can be used to solve HJ even after appearance of singularities (caustics).
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