A Parallel Modified Lagrangian Method for an Optimal Control Problem of a Linear Distributed Stochastic System

DOI10.1515/MCMA.1998.4.4.319zbMath0923.65038OpenAlexW2275157875MaRDI QIDQ4236594

Holger Blaar, Wilfried Grecksch, Thomas Pohl

Publication date: 15 October 1999

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.1998.4.4.319

zbMATH Keywords

optimal controlHilbert spacenumerical experimentsparallel algorithmsstochastic systemslinear parabolic Ito equationlinear stochastic evolution equationmodified Lagrangian methods

Mathematics Subject Classification ID

Numerical methods involving duality (49M29) Numerical optimization and variational techniques (65K10) Parallel numerical computation (65Y05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems in abstract spaces (49K27)

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