用深度学习求解无限维非线性偏微分方程,突破传统降维局限。
Deep Hilbert--Galerkin Methods for Infinite-Dimensional PDEs and Optimal Control
- 通过希尔伯特-伽辽金神经算子参数化解,直接在无限维空间逼近。
- 首次证明适用于二阶导数和无界算子的通用逼近定理。
- 可处理热方程、伯格斯方程等控制问题,适合科学计算研究者。
我们提出基于深度学习的全非线性二阶偏微分方程(如无限维控制中的哈密顿-雅可比-贝尔曼方程)逼近方法,通过希尔伯特-伽辽金神经算子(HGNOs)参数化解。首次建立足够强的通用逼近定理(UAT),基于对海森矩阵的新拓扑及对应连续性假设,该拓扑为非序列且不可度量,使问题复杂化。证明了在希尔伯特空间上函数及其一阶、二阶弗雷谢导数,以及作用于一阶导数的无界算子的逼近性。对控制问题,进一步证明最优反馈控制可通过近似值函数HGNO实现逼近。开发了深度希尔伯特-伽辽金与希尔伯特动作-评论家(强化学习)训练方法,通过最小化整个希尔伯特空间上的 $L^2_μ(H)$ 残差范数,而非仅投影到有限维。这是首个提出此类方法的论文。模型源自多领域应用,包括物理中的泛函微分方程、与受控偏微分方程、随机偏微分方程、路径依赖系统、部分观测随机系统及均场随机微分方程相关的柯尔莫哥洛夫与哈密顿-雅可比-贝尔曼方程。数值求解确定性与随机热方程、伯格斯方程的最优控制例子,展示了该深度学习方法的潜力。
原文摘要 · Abstract (English)
We develop deep learning-based approximation methods for fully nonlinear second-order PDEs on separable Hilbert spaces, such as HJB equations for infinite-dimensional control, by parameterizing solutions via Hilbert--Galerkin Neural Operators (HGNOs). We prove the first Universal Approximation Theorems (UATs) which are sufficiently powerful to address these problems, based on novel topologies for Hessian terms and corresponding novel continuity assumptions on the fully nonlinear operator. These topologies are non-sequential and non-metrizable, making the problem delicate. In particular, we prove UATs for functions on Hilbert spaces, together with their Fréchet derivatives up to second order, and for unbounded operators applied to the first derivative, ensuring that HGNOs are able to approximate all the PDE terms. For control problems, we further prove UATs for optimal feedback controls in terms of our approximating value function HGNO. We develop numerical training methods, which we call Deep Hilbert--Galerkin and Hilbert Actor-Critic (reinforcement learning) Methods, for these problems by minimizing the $L^2_μ(H)$-norm of the residual of the PDE on the whole Hilbert space, not just a projected PDE to finite dimensions. This is the first paper to propose such an approach. The models considered arise in many applied sciences, such as functional differential equations in physics and Kolmogorov and HJB PDEs related to controlled PDEs, SPDEs, path-dependent systems, partially observed stochastic systems, and mean-field SDEs. We numerically solve examples of Kolmogorov and HJB PDEs related to the optimal control of deterministic and stochastic heat and Burgers' equations, demonstrating the promise of our deep learning-based approach.
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