Adaptive Deep Learning for High-Dimensional Hamilton--Jacobi--Bellman Equations

Computing optimal feedback controls for nonlinear systems generally requires solving Hamilton--Jacobi--Bellman (HJB) equations, which are notoriously difficult when the state dimension is large. Existing strategies for high-dimensional problems often rely on specific, restrictive problem structures or are valid only locally around some nominal trajectory. In this paper, we propose a data-driven method to approximate semiglobal solutions to HJB equations for general high-dimensional nonlinear systems and compute candidate optimal feedback controls in real-time. To accomplish this, we model solutions to HJB equations with neural networks (NNs) trained on data generated without discretizing the state space. Training is made more effective and data-efficient by leveraging the known physics of the problem and using the partially trained NN to aid in adaptive data generation. We demonstrate the effectiveness of our method by learning solutions to HJB equations corresponding to the attitude control of a six-dimensional nonlinear rigid body and nonlinear systems of dimension up to 30 arising from the stabilization of a Burgers'-type partial differential equation. The trained NNs are then used for real-time feedback control of these systems.