Consistency of sample-based stationary points for infinite-dimensional stochastic optimization

Monte Carlo methods (65C05) Nonlinear programming (90C30) Stochastic programming (90C15) PDEs in connection with control and optimization (35Q93) PDEs with randomness, stochastic partial differential equations (35R60) Programming in abstract spaces (90C48) Random operators and equations (aspects of stochastic analysis) (60H25) PDE constrained optimization (numerical aspects) (49M41)

Abstract: We consider stochastic optimization problems with possibly nonsmooth integrands posed in Banach spaces and approximate these stochastic programs via a sample-based approaches. We establish the consistency of approximate Clarke stationary points of the sample-based approximations. Our framework is applied to risk-averse semilinear PDE-constrained optimization using the average value-at-risk and to risk-neutral bilinear PDE-constrained optimization.

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