A stochastic gradient algorithm with momentum terms for optimal control problems governed by a convection-diffusion equation with random diffusivity

DOI10.1016/J.CAM.2022.114919MaRDI QIDQ2104094zbMATH OpenOpenAlexFDO

Authors Sıtkı Can Toraman, H. Yücel

Publication date 9 December 2022

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2022.114919

zbMATH Keywords

Monte Carlouncertainty quantificationPDE-constrained optimizationstochastic momentum

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) PDEs with randomness, stochastic partial differential equations (35R60) Existence theories for optimal control problems involving partial differential equations (49J20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Error bounds for boundary value problems involving PDEs (65N15) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) PDE constrained optimization (numerical aspects) (49M41)

Recommendations

• A stochastic gradient method for a class of nonlinear PDE-constrained optimal control problems under uncertainty
• A regularized stochastic subgradient projection method for an optimal control problem in a stochastic partial differential equation
• A stochastic gradient method with mesh refinement for PDE-constrained optimization under uncertainty
• Numerical optimal control for problems with random forced SPDE constraints
• A sparse grid stochastic collocation upwind finite volume element method for the constrained optimal control problem governed by random convection diffusion equations

Cites work

• scientific article; zbMATH DE number 3850830 (Why is no real title available?)
• scientific article; zbMATH DE number 1744773 (Why is no real title available?)
• scientific article; zbMATH DE number 3322278 (Why is no real title available?)
• scientific article; zbMATH DE number 3046994 (Why is no real title available?)
• A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty
• A Stochastic Approximation Method
• A stochastic gradient method with mesh refinement for PDE-constrained optimization under uncertainty
• A trust-region algorithm with adaptive stochastic collocation for PDE optimization under uncertainty
• An effective method for parameter estimation with PDE constraints with multiple right-hand sides
• An introduction to computational stochastic PDEs
• Averaged control
• Averaged control and observation of parameter-depending wave equations
• Block Preconditioning of Stochastic Galerkin Problems: New Two-sided Guaranteed Spectral Bounds
• Block-diagonal preconditioning for optimal control problems constrained by PDEs with uncertain inputs
• Block-diagonal preconditioning for spectral stochastic finite-element systems
• Complexity Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters
• Constrained optimization with low-rank tensors and applications to parametric problems with PDEs
• Convex optimization: algorithms and complexity
• Error estimates of stochastic optimal Neumann boundary control problems
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• Finite element approximations of stochastic optimal control problems constrained by stochastic elliptic PDEs
• Galerkin Finite Element Approximations of Stochastic Elliptic Partial Differential Equations
• Momentum and stochastic momentum for stochastic gradient, Newton, proximal point and subspace descent methods
• Multigrid Methods and Sparse-Grid Collocation Techniques for Parabolic Optimal Control Problems with Random Coefficients
• Multigrid and sparse-grid schemes for elliptic control problems with random coefficients
• Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
• On solving elliptic stochastic partial differential equations
• On the treatment of distributed uncertainties in PDE-constrained optimization
• Optimal control with stochastic PDE constraints and uncertain controls
• Optimization methods for large-scale machine learning
• Projected stochastic gradients for convex constrained problems in Hilbert spaces
• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
• Reduced basis approximation of parametrized optimal flow control problems for the Stokes equations
• Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method
• Robust Stochastic Approximation Approach to Stochastic Programming
• Some methods of speeding up the convergence of iteration methods
• Sparse adaptive tensor Galerkin approximations of stochastic PDE-constrained control problems
• Stochastic Estimation of the Maximum of a Regression Function
• Stochastic collocation for optimal control problems with stochastic PDE constraints
• Stochastic discontinuous Galerkin methods with low-rank solvers for convection diffusion equations
• Stochastic gradient descent for semilinear elliptic equations with uncertainties
• Stochastic optimal Robin boundary control problems of advection-dominated elliptic equations

Cited in

(9)

• A distributed optimal control problem with averaged stochastic gradient descent
• Regular and anomalous diffusion. I: Foundations
• A stochastic gradient method for a class of nonlinear PDE-constrained optimal control problems under uncertainty
• Gradient extremum seeking for static maps with actuation dynamics governed by diffusion PDEs
• Stochastic collocation for optimal control problems with stochastic PDE constraints by meshless techniques
• Complexity Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters
• Adaptive stochastic gradient descent for optimal control of parabolic equations with random parameters
• A regularized stochastic subgradient projection method for an optimal control problem in a stochastic partial differential equation
• PDE-constrained optimal control problems with uncertain parameters using SAGA

This page was built for publication: A stochastic gradient algorithm with momentum terms for optimal control problems governed by a convection-diffusion equation with random diffusivity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2104094)