PDE-Constrained Optimal Control Problems with Uncertain Parameters using SAGA

DOI10.1137/18M1224076zbMath1473.35611arXiv1810.13378OpenAlexW3182674788MaRDI QIDQ5010087

Matthieu Martin, Fabio Nobile

Publication date: 24 August 2021

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.13378

zbMATH Keywords

stochastic approximationPDE-constrained optimizationoptimization under uncertaintySAGAPDE with random coefficientsrisk-averse optimal control

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical methods in optimal control (49M99) PDEs in connection with control and optimization (35Q93)

Related Items (8)

Complexity Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters ⋮ An Approximation Scheme for Distributionally Robust PDE-Constrained Optimization ⋮ A relaxation-based probabilistic approach for PDE-constrained optimization under uncertainty with pointwise state constraints ⋮ Reliable Error Estimates for Optimal Control of Linear Elliptic PDEs with Random Inputs ⋮ Numerical solution of an optimal control problem with probabilistic and almost sure state constraints ⋮ Parabolic PDE-constrained optimal control under uncertainty with entropic risk measure using quasi-Monte Carlo integration ⋮ Efficient mini-batch stochastic gradient descent with centroidal Voronoi tessellation for PDE-constrained optimization under uncertainty ⋮ An efficient ADAM-type algorithm with finite elements discretization technique for random elliptic optimal control problems

Uses Software

• Unnamed Item
• Saga

Cites Work

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• Complexity Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters
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• A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data

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