Penalty Adversarial Network (PAN): A neural network-based method to solve PDE-constrained optimal control problems

Abstract: In this work, we introduce a novel strategy for tackling constrained optimization problems through a modified penalty method. Conventional penalty methods convert constrained problems into unconstrained ones by incorporating constraints into the loss function via a penalty term. However, selecting an optimal penalty parameter remains challenging; an improper choice, whether excessively high or low, can significantly impede the discovery of the true solution. This challenge is particularly evident when training neural networks for constrained optimization, where tuning parameters can become an extensive and laborious task. To overcome these issues, we propose an adversarial approach that redefines the conventional penalty method by simultaneously considering two competing penalty problems--a technique we term the penalty adversarial problem. Within linear settings, our method not only ensures the fulfillment of constraints but also guarantees solvability, leading to more precise solutions compared to traditional approaches. We further reveal that our method effectively performs an automatic adjustment of penalty parameters by leveraging the relationship between the objective and loss functions, thereby obviating the need for manual parameter tuning. Additionally, we extend this adversarial framework to develop a neural network-based solution for optimal control problems governed by linear or nonlinear partial differential equations. We demonstrate the efficacy of this innovative approach through a series of numerical examples.