An Interior-Point Approach for Solving Risk-Averse PDE-Constrained Optimization Problems with Coherent Risk Measures

DOI10.1137/19M125039XzbMath1456.49005MaRDI QIDQ5148402

Sebastian Garreis, Michael Ulbrich, Thomas M. Surowiec

Publication date: 4 February 2021

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic optimizationinterior-point methodsrisk measuresuncertainty quantificationPDE-constrained optimizationgamma convergenceconditional value-at-riskrisk averse

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Stochastic programming (90C15) Fréchet and Gateaux differentiability in optimization (49J50) Existence theories for optimal control problems involving partial differential equations (49J20) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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