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arXiv 1602.07592math.OC
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随机参数场偏微分方程系统的均值-方差风险厌恶最优控制

Mean-variance risk-averse optimal control of systems governed by PDEs with random parameter fields using quadratic approximations

Alen Alexanderian, Noemi Petra, Georg Stadler, Omar Ghattas

摘要:

提出了一种求解参数不确定的偏微分方程(PDE)系统的最优控制的方法。我们考虑一个目标函数,涉及的均值和方差的控制目标,导致风险厌恶的最优控制问题。为了使问题易于处理,我们调用一个二次泰勒级数近似的控制目标的不确定参数。这使得推导出显式表达式的平均值和方差的控制目标的梯度和海森相对于不确定的参数。风险厌恶的最优控制问题,然后制定为一个偏微分方程约束的最优化问题的约束给出的前向和伴随偏微分方程定义这些梯度和海森。二次近似下的控制目标的均值和方差的表达式涉及(预处理)Hessian的迹,因此无法进行评估。为了解决这个问题,我们采用跟踪估计,只需要一个适度数量的海森向量产品。我们说明我们的方法与两个问题:控制的半线性椭圆型偏微分方程的不确定边界源项,和控制的线性椭圆型偏微分方程的不确定系数字段。对于后一个问题,我们推导出基于伴随的表达式,用于有效计算风险规避目标相对于控制的梯度。我们的方法确保计算风险厌恶的目标和它的梯度相对于控制的成本,在PDE解决的数量测量,是独立的(离散化)参数和控制维度,并且仅取决于在跟踪估计中采用的随机向量的数量。最后,我们提出了一个全面的数值研究的最优控制问题的流体在多孔介质中的不确定渗透率场。

英文摘要:

We present a method for optimal control of systems governed by partial differential equations (PDEs) with uncertain parameter fields. We consider an objective function that involves the mean and variance of the control objective, leading to a risk-averse optimal control problem. To make the problem tractable, we invoke a quadratic Taylor series approximation of the control objective with respect to the uncertain parameter. This enables deriving explicit expressions for the mean and variance of the control objective in terms of its gradients and Hessians with respect to the uncertain parameter. The risk-averse optimal control problem is then formulated as a PDE-constrained optimization problem with constraints given by the forward and adjoint PDEs defining these gradients and Hessians. The expressions for the mean and variance of the control objective under the quadratic approximation involve the trace of the (preconditioned) Hessian and are thus prohibitive to evaluate. To address this, we employ trace estimators that only require a modest number of Hessian-vector products. We illustrate our approach with two problems: the control of a semilinear elliptic PDE with an uncertain boundary source term, and the control of a linear elliptic PDE with an uncertain coefficient field. For the latter problem, we derive adjoint-based expressions for efficient computation of the gradient of the risk-averse objective with respect to the controls. Our method ensures that the cost of computing the risk-averse objective and its gradient with respect to the control, measured in the number of PDE solves, is independent of the (discretized) parameter and control dimensions, and depends only on the number of random vectors employed in the trace estimation. Finally, we present a comprehensive numerical study of an optimal control problem for fluid flow in a porous medium with uncertain permeability field.

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