Filippo de Feo

Samuel N. Cohen, Filippo de Feo, Jackson Hebner et al.

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.

Filippo de Feo

Derivative-Informed Operator Learning (DIOL), i.e. learning a (nonlinear) operator and its derivatives, is an open research frontier at the foundations of the influential field of Operator Learning (OL). In particular, Universal Approximation Theorems (UATs) of nonlinear operators and their derivatives are foundational open questions and delicate problems in nonlinear functional analysis. In this manuscript, we prove the first UATs of non-linear $k$-times differentiable operators between Banach spaces and their derivatives, uniformly on compact sets and in weighted Sobolev norms for general finite input measures, via OL architectures. Our results are the first complete generalizations of the corresponding influential classical results in [Hornik, 1991] to infinite-dimensional settings and OL. We discuss several open areas where DIOL and our UATs find applications: high-order accuracy in OL, fast constrained optimization in Banach spaces (e.g. optimal control of PDEs, inverse problems) and numerical methods for infinite-dimensional PDEs (e.g. HJB PDEs on Banach spaces from optimal control of PDEs, SPDEs, path-dependent systems, partially observed systems, mean-field control). We parameterize nonlinear operators via Encoder-Decoder Architectures, renowned classes in OL due to their generality, including classical architectures, such as DeepONets, Deep-H-ONets, PCA-Nets. Our results are based on four key features that allow us to prove UATs in full generality: (i) Approximation Properties of Banach spaces. (ii) $k$-times continuous differentiability in the sense of Bastiani (weaker than $k$-times continuous Fréchet differentiability). (iii) Natural compact-open topologies for UA; indeed, we show that UA in standard compact-open topologies induced by operator norms is violated even for Fréchet derivatives. (iv) Construction of novel weighted Sobolev spaces for the UA.