A multilinear HJB-POD method for the optimal control of PDEs

arXiv2305.08803MaRDI QIDQ6436682FDOQ6436682

Publication date: 15 May 2023

Abstract: Optimal control problems driven by evolutionary partial differential equations arise in many industrial applications and their numerical solution is known to be a challenging problem. One approach to obtain an optimal feedback control is via the Dynamic Programming principle. Nevertheless, despite many theoretical results, this method has been applied only to very special cases since it suffers from the curse of dimensionality. Our goalis to mitigate this crucial obstruction developing a new version of dynamic programming algorithms based on a tree structure and exploiting the compact representation of the dynamical systems based on tensors notations via a model reduction approach. Here, we want to show how this algorithm can be constructed for general nonlinear control problems and to illustrate its performances on a number of challenging numerical tests. Our numerical results indicate a large decrease in memory requirements, as well as computational time, for the proposed problems. Moreover, we prove the convergence of the algorithm and give some hints on its implementation

Has companion code repository: https://github.com/saluzzi/multilinear_hjb_pod

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Existence theories for optimal control problems involving partial differential equations (49J20) Dynamic programming in optimal control and differential games (49L20) Feedback control (93B52)

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