Generalization of free-boundary deep learning to higher dimensions
Determine whether the deep learning approach that jointly parameterizes the value function and the free boundary and incorporates free-boundary conditions into the loss function (Wang and Perdikaris, 2021) extends to higher-dimensional variational inequalities (dimensions d ≥ 3). Specifically, ascertain conditions under which this free-boundary parameterization remains valid and scalable when the free boundary’s dimension increases and the network architecture must adapt to higher-dimensional domains.
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However, there is no convergence analysis, and it is not clear if it can be generalized for higher dimensions as the dimension of the free boundary would also increase and the framework of the network needs to change accordingly.
The high-dimensional structure of the free-boundary problem also suggests further work on efficient numerical and simulation-based methods for computing the investment and disinvestment regions.