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

DOI10.1007/S10915-021-01480-5zbMATH Open1479.60132arXiv2011.14587OpenAlexW3157453967MaRDI QIDQ831252FDOQ831252

Binjie Li, Qin Zhou

Publication date: 11 May 2021

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

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.

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

Recommendations

• Error analysis of a discretization for stochastic linear quadratic control problems governed by SDEs
• On the existence of stochastic optimal control of distributed state system
• Variational discretization for optimal control problems governed by parabolic equations
• Finite element approximations of stochastic optimal control problems constrained by stochastic elliptic PDEs
• A regularized stochastic subgradient projection method for an optimal control problem in a stochastic partial differential equation

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)

Cites Work

• Stochastic maximum principle for distributed parameter systems
• A numerical scheme for BSDEs
• A variational discretization concept in control constrained optimization: The linear-quadratic case
• Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains
• Maximum principle for semilinear stochastic evolution control systems
• Optimization with PDE Constraints
• On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• A Maximum Principle for Optimal Control of Stochastic Evolution Equations
• General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
• Galerkin Finite Element Methods for Parabolic Problems
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• A Priori Error Estimates for Space-Time Finite Element Discretization of Parabolic Optimal Control Problems Part I: Problems Without Control Constraints
• Malliavin calculus for backward stochastic differential equations and application to numerical solutions
• Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations
• Galerkin Finite Element Methods for Stochastic Parabolic Partial Differential Equations
• Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
• Stochastic differential equations, backward SDEs, partial differential equations
• A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
• Numerical solutions of backward stochastic differential equations: a finite transposition method
• New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations
• Optimal error estimates of Galerkin finite element methods for stochastic partial differential equations with multiplicative noise
• Stochastic calculus. An introduction through theory and exercises
• Stochastic maximum principle for optimal control of SPDEs
• A Milstein scheme for SPDEs
• Approximation of backward stochastic partial differential equations by a splitting-up method
• Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
• Interpolation Theory
• The forward-backward stochastic heat equation: numerical analysis and simulation
• Strong and Weak Convergence Rates of a Spatial Approximation for Stochastic Partial Differential Equation with One-sided Lipschitz Coefficient
• A splitting algorithm for stochastic partial differential equations driven by linear multiplicative noise
• \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application
• Optimal Control of Stochastic Linear Distributed Parameter Systems
• High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control
• A Mini-Course on Stochastic Control

Cited In (4)

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

This page was built for publication: Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q831252)