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/DRAB069MaRDI QIDQ5042896zbMATH OpenOpenAlexFDO

Authors Andreas Prohl, Yanqing Wang

Publication date 26 October 2022

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

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

zbMATH Keywords

error estimatePontryagin's maximum principlestochastic heat equationstochastic linear quadratic problemstochastic Riccati equation

Mathematics Subject Classification ID

Numerical methods based on necessary conditions (49M05) Linear-quadratic optimal control problems (49N10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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) Diffusive and convective heat and mass transfer, heat flow (80A19) Optimal stochastic control (93E20)

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.

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Cited in

(12)

• 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
• Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs
• A linear implicit Euler method for the finite element discretization of a controlled stochastic heat equation
• Temporal semi-discretizations of a backward semilinear stochastic evolution equation
• Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation
• Error analysis of the feedback controls arising in the stochastic linear quadratic control problems
• Spectral approximation of a class of stochastic time-fractional evolution equations
• Optimal error estimates of the stochastic parabolic optimal control problem with integral state constraint
• Strong error estimates for the space-time discretization of a stochastic linear quadratic control problem with control in the diffusion
• Convergence with rates for a Riccati-based discretization of SLQ problems with SPDEs
• Convergence analysis for an implementable scheme to solve the linear-quadratic stochastic optimal control problem with stochastic wave equation
• Convergence rate of Riccati-based discretization for linear quadratic optimal control problem of stochastic mixed systems

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