PDE-Constrained Optimal Control Problems with Uncertain Parameters using SAGA

DOI10.1137/18M1224076zbMath1473.35611arXiv1810.13378OpenAlexW3182674788MaRDI QIDQ5010087

Matthieu Martin, Fabio Nobile

Publication date: 24 August 2021

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.13378

zbMATH Keywords

stochastic approximationPDE-constrained optimizationoptimization under uncertaintySAGAPDE with random coefficientsrisk-averse optimal control

Mathematics Subject Classification ID

Monte Carlo methods (65C05) 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) PDEs in connection with control and optimization (35Q93)

Related Items (4)

Complexity Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters ⋮ An Approximation Scheme for Distributionally Robust PDE-Constrained Optimization ⋮ A relaxation-based probabilistic approach for PDE-constrained optimization under uncertainty with pointwise state constraints ⋮ Reliable Error Estimates for Optimal Control of Linear Elliptic PDEs with Random Inputs

Uses Software

• FreeFem++
• Saga

Cites Work

• Convergence of quasi-optimal sparse-grid approximation of Hilbert-space-valued functions: Application to random elliptic PDEs
• Breaking the curse of dimensionality in sparse polynomial approximation of parametric PDEs
• Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity
• Minimizing finite sums with the stochastic average gradient
• Multigrid and sparse-grid schemes for elliptic control problems with random coefficients
• Comparison of approaches for random PDE optimization problems based on different matching functionals
• Sparse, adaptive Smolyak quadratures for Bayesian inverse problems
• Existence and Optimality Conditions for Risk-Averse PDE-Constrained Optimization
• Optimization with PDE Constraints
• Convergence of Sparse Collocation for Functions of Countably Many Gaussian Random Variables (with Application to Elliptic PDEs)
• New development in freefem++
• Multilevel approximation of parametric and stochastic PDES
• Complexity Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters
• A Stochastic Approximation Method
• A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data

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