Mean-Variance Risk-Averse Optimal Control of Systems Governed by PDEs with Random Parameter Fields Using Quadratic Approximations

DOI10.1137/16M106306XzbMath1391.93289arXiv1602.07592OpenAlexW2963538079MaRDI QIDQ4636356

Georg Stadler, Omar Ghattas, Noemi Petra, Alen Alexanderian

Publication date: 19 April 2018

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

Full work available at URL: https://arxiv.org/abs/1602.07592

zbMATH Keywords

optimal controlHessianrisk-aversionGaussian measurePDE-constrained optimizationoptimization under uncertaintyPDEs with random coefficientstrace estimators

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) PDEs in connection with control and optimization (35Q93)

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