Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
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uncertainty quantificationPDE-constrained optimizationcontrol constraintsvariational discretizationlognormal random fields
Monte Carlo methods (65C05) 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) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Theoretical approximation in context of PDEs (35A35)
Abstract: This work is motivated by the need to study the impact of data uncertainties and material imperfections on the solution to optimal control problems constrained by partial differential equations. We consider a pathwise optimal control problem constrained by a diffusion equation with random coefficient together with box constraints for the control. For each realization of the diffusion coefficient we solve an optimal control problem using the variational discretization [M. Hinze, Comput. Optim. Appl., 30 (2005), pp. 45-61]. Our framework allows for lognormal coefficients whose realizations are not uniformly bounded away from zero and infinity. We establish finite element error bounds for the pathwise optimal controls. This analysis is nontrivial due to the limited spatial regularity and the lack of uniform ellipticity and boundedness of the diffusion operator. We apply the error bounds to prove convergence of a multilevel Monte Carlo estimator for the expected value of the pathwise optimal controls. In addition we analyze the computational complexity of the multilevel estimator. We perform numerical experiments in 2D space to confirm the convergence result and the complexity bound.
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- Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method
- Optimization problems governed by systems of PDEs with uncertainties
- Sparse solutions in optimal control of PDEs with uncertain parameters: the linear case
- On multilevel best linear unbiased estimators
- Low rank approximation method for perturbed linear systems with applications to elliptic type stochastic PDEs
- MG/OPT and multilevel Monte Carlo for robust optimization of PDEs
- Multilevel Markov chain Monte Carlo with likelihood scaling for Bayesian inversion with high-resolution observations
- Robustness of reaction-diffusion PDEs predictor-feedback to stochastic delay perturbations
- Taylor approximation for chance constrained optimization problems governed by partial differential equations with high-dimensional random parameters
- One-shot learning of surrogates in PDE-constrained optimization under uncertainty
- An efficient ADAM-type algorithm with finite elements discretization technique for random elliptic optimal control problems
- A stochastic gradient algorithm with momentum terms for optimal control problems governed by a convection-diffusion equation with random diffusivity
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- A stochastic gradient method with mesh refinement for PDE-constrained optimization under uncertainty
- A low-rank solver for the Stokes-Darcy model with random hydraulic conductivity and Beavers-Joseph condition
- Reliable Error Estimates for Optimal Control of Linear Elliptic PDEs with Random Inputs
- Complexity Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters
- Averaged controllability of the random Schrödinger equation with diffusivity following absolutely continuous distributions
- Robust optimal ship hulls based on Michell's wave resistance
- Optimal design of acoustic metamaterial cloaks under uncertainty
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- A new ensemble Monte Carlo method for a parabolic optimal control problem with random coefficient
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- Numerical solution of an optimal control problem with probabilistic and almost sure state constraints
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- Quantify uncertainty by estimating the probability density function of the output of interest using MLMC based Bayes method
- Existence and optimality conditions for risk-averse PDE-constrained optimization
- Multigrid preconditioners for optimal control problems with stochastic elliptic PDE constraints
- Multiscale model reduction for stochastic elasticity problems using ensemble variable-separated method
- Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
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