Analysis of stochastic gradient methods for PDE-constrained optimal control problems with uncertain parameters - View source for Ayoul-Guilmard 2021a - Scipedia

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M. Martin, S. Krumscheid, F. Nobile

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== Abstract ==





== Full document ==
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Published on 01/01/2020

DOI: 10.5075/epfl-MATHICSE-263568
Licence: CC BY-NC-SA license

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Keywords

PDE-constrained optimization • Risk-averse optimal control • Optimization under uncertainty • PDE with random coefficients • Sample-average approximation • Stochastic approximation • Stochastic gradient • Monte Carlo

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