Rough variational principles and applications to adjoint systems

RESUMO

We consider a Type-II variational principle driven by geometric rough path with split boundary conditions naturally suited to adjoint systems. From this rough variational principle we derive rough Hamilton's equations, establish their pathwise conservation laws and associated Hamilton--Jacobi equation. We then specialise the framework to rough adjoint systems, obtaining pathwise conservation and quasi-conservation laws that underpin adjoint sensitivity analysis with respect to initial conditions and parameters. On the discrete side, we construct a rough Galerkin discretisation of the rough Type-II variational principle and show that it generates a symplectic flow with discrete analogues of the continuous conservation laws. We establish it's equivalence to a class of Rough Symplectic Partitioned Runge--Kutta (RSPRK) methods and analyse its convergence and naturality properties. Lastly, we perform numerical experiments to validate the predicted convergence rates and demonstrate that RSPRK methods preserve the adjoint conservation laws to machine precision, yielding more accurate and stable gradients in optimisation problems than non-symplectic alternatives.