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Publications associées (35)
Complexity analysis of stochastic gradient methods for PDE-constrained optimal control problems with uncertain parameters
Fabio Nobile, Sebastian Krumscheid, Matthieu Claude Martin
We consider the numerical approximation of an optimal control problem for an elliptic Partial Differential Equation (PDE) with random coefficients. Specifically, the control function is a deterministic, distributed forcing term that minimizes the expected ...
2021Multilevel ensemble Kalman filtering for spatio-temporal processes
Fabio Nobile, Hakon Andreas Hoel
We design and analyse the performance of a multilevel ensemble Kalman filter method (MLEnKF) for filtering settings where the underlying state-space model is an infinite-dimensional spatio-temporal process. We consider underlying models that needs to be si ...
2021