A stochastic gradient algorithm with momentum terms for optimal control problems governed by a convection–diffusion equation with random diffusivity
In this paper, we focus on a numerical investigation of a strongly convex and smooth optimization problem subject to a convection–diffusion equation with uncertain terms. Our approach is based on stochastic approximation where true gradient is replaced by a stochastic ones with suitable momentum ter...
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| Veröffentlicht in: | Journal of computational and applied mathematics Jg. 422; S. 114919 |
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| Format: | Journal Article |
| Sprache: | Englisch |
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Elsevier B.V
01.04.2023
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| ISSN: | 0377-0427, 1879-1778 |
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| Abstract | In this paper, we focus on a numerical investigation of a strongly convex and smooth optimization problem subject to a convection–diffusion equation with uncertain terms. Our approach is based on stochastic approximation where true gradient is replaced by a stochastic ones with suitable momentum term to minimize the objective functional containing random terms. A full error analysis including Monte Carlo, finite element, and stochastic momentum gradient iteration errors is done. Numerical examples are presented to illustrate the performance of the proposed stochastic approximations in the PDE-constrained optimization setting. |
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| AbstractList | In this paper, we focus on a numerical investigation of a strongly convex and smooth optimization problem subject to a convection–diffusion equation with uncertain terms. Our approach is based on stochastic approximation where true gradient is replaced by a stochastic ones with suitable momentum term to minimize the objective functional containing random terms. A full error analysis including Monte Carlo, finite element, and stochastic momentum gradient iteration errors is done. Numerical examples are presented to illustrate the performance of the proposed stochastic approximations in the PDE-constrained optimization setting. |
| ArticleNumber | 114919 |
| Author | Toraman, Sıtkı Can Yücel, Hamdullah |
| Author_xml | – sequence: 1 givenname: Sıtkı Can orcidid: 0000-0002-1623-4050 surname: Toraman fullname: Toraman, Sıtkı Can email: storaman@metu.edu.tr – sequence: 2 givenname: Hamdullah surname: Yücel fullname: Yücel, Hamdullah email: yucelh@metu.edu.tr |
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| Cites_doi | 10.1007/s10589-020-00220-z 10.1137/18M1200208 10.1137/11081126X 10.1137/16M1080173 10.1016/j.camwa.2014.12.010 10.1137/070711311 10.1137/16M1057607 10.1137/19M1294952 10.1137/19M125902X 10.1214/aoms/1177729392 10.1137/S0036142902418680 10.1561/2200000050 10.1016/j.jcp.2011.01.023 10.1016/j.crma.2014.04.007 10.1137/110835438 10.1016/j.automatica.2014.10.054 10.1093/imanum/drn014 10.1007/s00791-010-0134-4 10.1137/S1064827592240555 10.1051/m2an/2021025 10.1137/070704277 10.1016/j.cma.2011.11.026 10.1137/100801731 10.1016/S0045-7825(02)00354-7 10.1137/17M1155892 10.1016/0041-5553(64)90137-5 10.1137/120884158 10.1137/15M1041390 10.1137/19M1263297 10.1002/gamm.201010017 10.1137/16M109870X 10.1214/aoms/1177729586 10.1016/j.jmaa.2010.07.036 10.1137/120892362 10.1137/15M1018502 |
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| Title | A stochastic gradient algorithm with momentum terms for optimal control problems governed by a convection–diffusion equation with random diffusivity |
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