Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk

DOI10.1137/140954556zbMath1337.49049OpenAlexW2263557086MaRDI QIDQ5743613

Drew P. Kouri, Thomas M. Surowiec

Publication date: 5 February 2016

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

Full work available at URL: https://www.osti.gov/biblio/1145907

zbMATH Keywords

dual problemregularizationnumerical methodsfixed-point iterationuncertainty quantificationPDE-constrained optimizationconditional value-at-risksmooth approximationprimal probleminner maximization problem

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Optimality conditions for problems involving partial differential equations (49K20) Numerical methods involving duality (49M29) Newton-type methods (49M15) Stochastic programming (90C15) Optimal stochastic control (93E20) Existence theories for optimal control problems involving partial differential equations (49J20) Discrete approximations in optimal control (49M25) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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