Approximation of Optimal Feedback Controls for Stochastic Reaction-Diffusion Equations

Authors Wilhelm Stannat, Alexander Vogler

Publication date 27 January 2023

Numerical optimization and variational techniques (65K10) Artificial neural networks and deep learning (68T07) Optimal stochastic control (93E20)

Abstract: We approximate optimal feedback controls for stochastic reaction-diffusion equations by using a general type of approximation that allows us to reduce the control problem to an optimization over deterministic controls. Similar to ([Stannat, Wessels], Deterministic Control of stochastic reaction-diffusion equations, Evolution Equations & Control Theory (2020)) we derive necessary optimality conditions and prove the existence of an optimal control for the reduced problem. Furthermore we derive explicit convergence rates and numerically investigate a gradient descent algorithm for the approximation of the optimal feedback control using a radial basis approximation as a particular example.

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