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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Vydáno v:	Journal of computational and applied mathematics Ročník 422; s. 114919
Hlavní autoři:	Toraman, Sıtkı Can, Yücel, Hamdullah
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Elsevier B.V 01.04.2023
Témata:	Monte Carlo PDE-constrained optimization Stochastic momentum Uncertainty quantification 35R60 49J20 Monte Carlo PDE-constrained optimization Stochastic momentum Uncertainty quantification 65C05 60H15 60H35
ISSN:	0377-0427, 1879-1778
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