Consistency of sample-based stationary points for infinite-dimensional stochastic optimization
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PDEs in connection with control and optimization (35Q93) PDEs with randomness, stochastic partial differential equations (35R60) PDE constrained optimization (numerical aspects) (49M41) Random operators and equations (aspects of stochastic analysis) (60H25) Monte Carlo methods (65C05) Stochastic programming (90C15) Nonlinear programming (90C30) Programming in abstract spaces (90C48)
Abstract: We consider stochastic optimization problems with possibly nonsmooth integrands posed in Banach spaces and approximate these stochastic programs via a sample-based approaches. We establish the consistency of approximate Clarke stationary points of the sample-based approximations. Our framework is applied to risk-averse semilinear PDE-constrained optimization using the average value-at-risk and to risk-neutral bilinear PDE-constrained optimization.
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