Stochastic Galerkin method for optimal control problem governed by random elliptic PDE with state constraints (Q1999877)

The paper is concerned with the analysis of the stochastic Galerkin method for the numerical solution of state-constrained optimal control problems governed by elliptic PDEs with random field in its coefficients on a convex polygonal domain \(D \subset \mathbb{R}^d\), where \(1 \leq d \leq 3\). Under the assumption of the finite dimensionality of the noise, the stochastic coefficients are represented by finite-term expansions. The authors employ the Slater condition and subdifferential calculus to derive necessary and sufficient optimality condition. Then, the stochastic Galerkin scheme is introduced for the numerical solution of the control problem and a priori error estimates are derived for the state, co-state and control variables. Finally, the projection algorithm is proposed and its convergence is proven. Numerical experiments are provided to confirm the theoretical results and illustrate the efficiency and applicability of the method.