Consistency of Monte Carlo estimators for risk-neutral PDE-constrained optimization
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Publication:6043153
DOI10.1007/s00245-023-09967-3zbMath1512.65095arXiv2204.04809OpenAlexW4362700519MaRDI QIDQ6043153
Publication date: 4 May 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2204.04809
stochastic programmingMonte Carlo samplingPDE-constrained optimizationsample average approximationoptimization under uncertainty
Monte Carlo methods (65C05) Nonlinear programming (90C30) Stochastic programming (90C15) Programming in abstract spaces (90C48) Random operators and equations (aspects of stochastic analysis) (60H25) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solution to inverse problems in abstract spaces (65J22)
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