PDE-constrained optimal control problems with uncertain parameters using SAGA
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stochastic approximationPDE-constrained optimizationoptimization under uncertaintySAGAPDE with random coefficientsrisk-averse optimal control
Monte Carlo methods (65C05) PDEs in connection with control and optimization (35Q93) 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)
Abstract: We consider an optimal control problem (OCP) for a partial differential equation (PDE) with random coefficients. The optimal control function is a deterministic, distributed forcing term that minimizes an expected quadratic regularized loss functional. For the numerical approximation of this PDE-constrained OCP, we replace the expectation in the objective functional by a suitable quadrature formula and, eventually, discretize the PDE by a Galerkin method. To practically solve such approximate OCP, we propose an importance sampling version the SAGA algorithm, a type of Stochastic Gradient algorithm with a fixed-length memory term, which computes at each iteration the gradient of the loss functional in only one quadrature point, randomly chosen from a possibly non-uniform distribution. We provide a full error and complexity analysis of the proposed numerical scheme. In particular we compare the complexity of the generalized SAGA algorithm with importance sampling, with that of the Stochastic Gradient (SG) and the Conjugate Gradient (CG) algorithms, applied to the same discretized OCP.We show that SAGA converges exponentially in the number of iterations as for a CG algorithm and has a similar asymptotic computational complexity, in terms of computational cost versus accuracy (proportional with the time required if no parallel computing is used). Moreover, it features good pre-asymptotic properties, as shown by our numerical experiments, which makes it appealing in a limited budget context.
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Cited in
(10)- Efficient PDE-constrained optimization under high-dimensional uncertainty using derivative-informed neural operators
- Optimization problems governed by systems of PDEs with uncertainties
- 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
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