Gradient computation for model calibration with pointwise observations

DOI10.1007/978-3-0348-0631-2_7MaRDI QIDQ2849376zbMATH OpenOpenAlexFDO

Authors Ekkehard W. Sachs, Matthias Schu

Publication date 17 September 2013

Published in Control and Optimization with PDE Constraints (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0631-2_7

zbMATH Keywords

discretizationoptimizationoption pricing modelspartial integro-differential equationspointwise observations

Mathematics Subject Classification ID

Integro-partial differential equations (35R09) Integro-partial differential equations (45K05) Optimality conditions for problems involving partial differential equations (49K20) Discrete approximations in optimal control (49M25) Financial applications of other theories (91G80)

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Cited in

(3)

• Methods for model calibration and design of optimal experiments for partial differential equations models
• Adaptive trust-region POD methods in PIDE-constrained optimization
• Adjoint-based calibration of nonlinear stochastic differential equations

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