Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise

DOI10.1007/S10915-021-01480-5MaRDI QIDQ831252zbMATH OpenOpenAlexFDO

Authors Binjie Li, Qin Zhou

Publication date 11 May 2021

Published in Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.14587

zbMATH Keywords

discretizationconvergenceBrownian motiondistributed controlstochastic parabolic equationoptimal control with partial differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving partial differential equations (49K20) Optimality conditions for problems involving randomness (49K45) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Optimal stochastic control (93E20) PDE constrained optimization (numerical aspects) (49M41)

Abstract: A discretization of an optimal control problem of a stochastic parabolic equation driven by multiplicative noise is analyzed. The state equation is discretized by the continuous piecewise linear element method in space and by the backward Euler scheme in time. The convergence rate $O(a{u}^{1/2}+h^2)$ is rigorously derived.

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Cited in

(6)

• Temporal semi-discretizations of a backward semilinear stochastic evolution equation
• Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
• Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation
• A fast algorithm for rank-\((L, M, N)\) block term decomposition of multi-dimensional data
• 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

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