Strong error estimates for a space-time discretization of the linear-quadratic control problem with the stochastic heat equation with linear noise

DOI10.1093/IMANUM/DRAB069zbMATH Open1505.65267arXiv2012.04418OpenAlexW3203266543MaRDI QIDQ5042896FDOQ5042896

Authors: Andreas Prohl, Yanqing Wang 

Publication date: 26 October 2022

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Abstract: We propose a time-implicit, finite-element based space-time discretization of the necessary and sufficient optimality conditions for the stochastic linear-quadratic optimal control problem with the stochastic heat equation driven by linear noise of type $[X(t)+sigma(t)]dW(t)$, and prove optimal convergence w.r.t. both, space and time discretization parameters. In particular, we employ the stochastic Riccati equation as a proper analytical tool to handle the linear noise, and thus extend the applicability of the earlier work [16], where the error analysis was restricted to additive noise.

Full work available at URL: https://arxiv.org/abs/2012.04418

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zbMATH Keywords

error estimatePontryagin's maximum principlestochastic heat equationstochastic Riccati equationstochastic linear quadratic problem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Linear-quadratic optimal control problems (49N10) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Optimal stochastic control (93E20) Numerical methods based on necessary conditions (49M05) Diffusive and convective heat and mass transfer, heat flow (80A19)

Cited In (6)

• A linear implicit Euler method for the finite element discretization of a controlled stochastic heat equation
• Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation
• Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation
• Temporal semi-discretizations of a backward semilinear stochastic evolution equation
• Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
• Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs

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