**Are you an EPFL student looking for a semester project?**

Work with us on data science and visualisation projects, and deploy your project as an app on top of GraphSearch.

Publication# Preconditioners for robust optimal control problems under uncertainty

Abstract

The discretization of robust quadratic optimal control problems under uncertainty using the finite element method and the stochastic collocation method leads to large saddle-point systems, which are fully coupled across the random realizations. Despite its relevance for numerous engineering problems, the solution of such systems is notoriously challenging. In this manuscript, we study efficient preconditioners for all-at-once approaches using both an algebraic and an operator preconditioning framework. We show in particular that for values of the regularization parameter not too small, the saddle-point system can be efficiently solved by preconditioning in parallel all the state and adjoint equations. For small values of the regularization parameter, robustness can be recovered by the additional solution of a small linear system, which however couples all realizations. A mean approximation and a Chebyshev semi-iterative method are proposed to solve this reduced system. We consider a random elliptic partial differential equation whose diffusion coefficient κ(x, ω) is modeled as an almost surely continuous and positive random field, though not necessarily uniformly bounded and coercive. We further provide estimates of the dependence of the spectrum of the preconditioned system matrix on the statistical properties of the random field and on the discretization of the probability space. Such estimates involve either the first or second moment of the random variables 1∕ min x∈D κ(x, ω) and max x∈D κ(x, ω), where D is the spatial domain. The theoretical results are confirmed by numerical experiments, and implementation details are further addressed.

Official source

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Related concepts

Loading

Related publications

Loading

Related publications

No results

Related concepts (4)

Cost estimate

A cost estimate is the approximation of the cost of a program, project, or operation. The cost estimate is the product of the cost estimating process. The cost estimate has a single total value and ma

Aqueous solution

An aqueous solution is a solution in which the solvent is water. It is mostly shown in chemical equations by appending (aq) to the relevant chemical formula. For example, a solution of table salt, o

Model predictive control

Model predictive control (MPC) is an advanced method of process control that is used to control a process while satisfying a set of constraints. It has been in use in the process industries in chemica