Taylor Approximation for Chance Constrained Optimization Problems Governed by Partial Differential Equations with High-Dimensional Random Parameters
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Publication:5158925
DOI10.1137/20M1381381zbMath1473.65072arXiv2011.09985OpenAlexW3204662258WikidataQ115246871 ScholiaQ115246871MaRDI QIDQ5158925
Publication date: 26 October 2021
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.09985
Hessianrandomized algorithmpenalty methodTaylor approximationsmooth approximationchance constrained optimization
Numerical optimization and variational techniques (65K10) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Optimal stochastic control (93E20) Numerical quadrature and cubature formulas (65D32) Existence of optimal solutions to problems involving randomness (49J55) PDE constrained optimization (numerical aspects) (49M41)
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