Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients

DOI10.1137/16M109870XzbMATH Open1371.35371arXiv1602.08943OpenAlexW2963492671MaRDI QIDQ5269872FDOQ5269872

Ahmad Ahmad Ali, Elisabeth Ullmann, M. Hinze

Publication date: 28 June 2017

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

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.

Full work available at URL: https://arxiv.org/abs/1602.08943

zbMATH Keywords

uncertainty quantificationPDE-constrained optimizationcontrol constraintsvariational discretizationlognormal random fields

Mathematics Subject Classification ID

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)

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