Repository: Freie Universit├Ąt Berlin, Math Department

A General Framework for Machine Learning based Optimization Under Uncertainty

Schillings, Claudia and Guth, Philipp A. and Weissmann, Simon (2021) A General Framework for Machine Learning based Optimization Under Uncertainty. . . (Submitted)

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We propose a general framework for machine learning based optimization under uncertainty. Our approach replaces the complex forward model by a surrogate, e.g., a neural network, which is learned simultaneously in a one-shot sense when solving the optimal control problem. Our approach relies on a reformulation of the problem as a penalized empirical risk minimization problem for which we provide a consistency analysis in terms of large data and increasing penalty parameter. To solve the resulting problem, we suggest a stochastic gradient method with adaptive control of the penalty parameter and prove convergence under suitable assumptions on the surrogate model. Numerical experiments illustrate the results for linear and nonlinear surrogate models.

Item Type:Article
Subjects:Mathematical and Computer Sciences > Mathematics > Applied Mathematics
Divisions:Department of Mathematics and Computer Science > Institute of Mathematics > Deterministic and Stochastic PDEs Group
ID Code:2823
Deposited By: Ulrike Eickers
Deposited On:27 Apr 2022 10:49
Last Modified:27 Apr 2022 10:49

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