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

Authors: 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

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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)

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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

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