PINN-based viscosity solution of HJB equation

Abstract: This paper proposed a novel PINN-based viscosity solution for HJB equations. Although there exists work using PINN to solve HJB, but none of them gives the solution in viscosity sense. This paper reveals the fact that using the convex neural network, one can guarantee the viscosity solution and thus the neural network can easily converge to the true solution of HJB despite of the starting point.