Computing optimal feedback controls for nonlinear systems generally requires solving Hamilton-Jacobi-Bellman (HJB) equations, which are notoriously difficult when the state dimension is large. Existing strategies for high-dimensional problems often rely on specific, restrictive problem structures, or are valid only locally around some nominal trajectory. In this paper, we propose a data-driven method to approximate semi-global solutions to HJB equations for general high-dimensional nonlinear systems and compute candidate optimal feedback controls in real-time. To accomplish this, we model solutions to HJB equations with neural networks (NNs) trained on data generated without discretizing the state space. Training is made more effective and data-efficient by leveraging the known physics of the problem and using the partially-trained NN to aid in adaptive data generation. We demonstrate the effectiveness of our method by learning solutions to HJB equations corresponding to the attitude control of a six-dimensional nonlinear rigid body, and nonlinear systems of dimension up to 30 arising from the stabilization of a Burgers-type partial differential equation. The trained NNs are then used for real-time feedback control of these systems.
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