Parabolic PDE-constrained optimal control under uncertainty with entropic risk measure using quasi-Monte Carlo integration

DOI10.1007/S00211-024-01397-9MaRDI QIDQ6493746

Philipp A. Guth, Ian H. Sloan, Claudia Schillings, Frances Y. Kuo, Vesa Kaarnioja

Publication date: 29 April 2024

Published in: Numerische Mathematik (Search for Journal in Brave)

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Existence theories for optimal control problems involving partial differential equations (49J20) Numerical integration (65D30) PDEs in connection with control and optimization (35Q93)

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