A Multilevel Stochastic Collocation Algorithm for Optimization of PDEs with Uncertain Coefficients

DOI10.1137/130915960zbMath1307.49026OpenAlexW2080364619MaRDI QIDQ2938434

Drew P. Kouri

Publication date: 14 January 2015

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

Full work available at URL: https://doi.org/10.1137/130915960

zbMATH Keywords

sparse gridsPDE optimizationuncertainty quantificationmultilevel stochastic collocation algorithm

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Newton-type methods (49M15) Stochastic programming (90C15) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Linear-quadratic optimal control problems (49N10) Discrete approximations in optimal control (49M25)

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