Mean-Variance Risk-Averse Optimal Control of Systems Governed by PDEs with Random Parameter Fields Using Quadratic Approximations
DOI10.1137/16M106306XzbMath1391.93289arXiv1602.07592MaRDI QIDQ4636356
Omar Ghattas, Alen Alexanderian, Georg Stadler, Noemi Petra
Publication date: 19 April 2018
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.07592
optimal control; Hessian; risk-aversion; Gaussian measure; PDE-constrained optimization; optimization under uncertainty; PDEs with random coefficients; trace estimators
65K10: Numerical optimization and variational techniques
93C20: Control/observation systems governed by partial differential equations
93E20: Optimal stochastic control
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
35Q93: PDEs in connection with control and optimization
