Neural networks for first order HJB equations and application to front propagation with obstacle terms

DOI10.1007/S42985-023-00258-8zbMATH Open1527.35140arXiv2210.04300OpenAlexW4304467407MaRDI QIDQ6087416FDOQ6087416

Authors: Olivier Bokanowski, Averil Prost, Xavier Warin 

Publication date: 15 November 2023

Published in: SN Partial Differential Equations and Applications (Search for Journal in Brave)

Abstract: We consider a deterministic optimal control problem with a maximum running cost functional, in a finite horizon context, and propose deep neural network approximations for Bellman's dynamic programming principle, corresponding also to some first-order Hamilton-Jacobi-Bellman equations. This work follows the lines of Hur'e et al. (SIAM J. Numer. Anal., vol. 59 (1), 2021, pp. 525-557) where algorithms are proposed in a stochastic context. However, we need to develop a completely new approach in order to deal with the propagation of errors in the deterministic setting, where no diffusion is present in the dynamics. Our analysis gives precise error estimates in an average norm. The study is then illustrated on several academic numerical examples related to front propagations models in the presence of obstacle constraints, showing the relevance of the approach for average dimensions (e.g. from $2$ to $8$), even for non-smooth value functions.

Full work available at URL: https://arxiv.org/abs/2210.04300

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zbMATH Keywords

neural networksstate constraintsdynamic programming principledeterministic optimal controlfirst order Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Hamilton-Jacobi equations (35F21) Dynamic programming in optimal control and differential games (49L20)

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Cited In (1)

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