Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method
نویسندگان
چکیده
منابع مشابه
Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method
This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost functional with an additional penalty on the variance of the state. The expressions for the gradient and Hessian corresponding to either problem contain expected val...
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ژورنال
عنوان ژورنال: SIAM/ASA Journal on Uncertainty Quantification
سال: 2019
ISSN: 2166-2525
DOI: 10.1137/17m1155892