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Publication# MATHICSE Technical Report : A Multilevel Stochastic Gradient method for PDE-constrained Optimal Control Problems with uncertain parameters

Abstract

In this paper, we present a multilevel Monte Carlo (MLMC) version of the Stochastic Gradient (SG) method for optimization under uncertainty, in order to tackle Optimal Control Problems (OCP) where the constraints are described in the form of PDEs with random parameters. The deterministic control acts as a distributed forcing term in the random PDE and the objective function is an expected quadratic loss. We use a Stochastic Gradient approach to compute the optimal control, where the steepest descent direction of the expected loss, at each iteration, is replaced by independent MLMC estimators with increasing accuracy and computational cost. The refinement strategy is chosen a-priori such that the bias and, possibly, the variance of the MLMC estimator decays as a function of the iteration counter. Detailed convergence and complexity analyses of the proposed strategy are presented and asymptotically optimal decay rates are identified such that the total computational work is minimized. We also present and analyze an alternative version of the multilevel SG algorithm that uses a randomized MLMC estimator at each iteration. Our methodology is validated through a numerical example.

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Related concepts (4)

Optimal control

Optimal control theory is a branch of mathematical optimization that deals with finding a control for a dynamical system over a period of time such that an objective function is optimized. It has numerous applications in science, engineering and operations research. For example, the dynamical system might be a spacecraft with controls corresponding to rocket thrusters, and the objective might be to reach the moon with minimum fuel expenditure.

Parameter

A parameter (), generally, is any characteristic that can help in defining or classifying a particular system (meaning an event, project, object, situation, etc.). That is, a parameter is an element of a system that is useful, or critical, when identifying the system, or when evaluating its performance, status, condition, etc. Parameter has more specific meanings within various disciplines, including mathematics, computer programming, engineering, statistics, logic, linguistics, and electronic musical composition.

Iteration

Iteration is the repetition of a process in order to generate a (possibly unbounded) sequence of outcomes. Each repetition of the process is a single iteration, and the outcome of each iteration is then the starting point of the next iteration. In mathematics and computer science, iteration (along with the related technique of recursion) is a standard element of algorithms. In mathematics, iteration may refer to the process of iterating a function, i.e. applying a function repeatedly, using the output from one iteration as the input to the next.