Numerical Solution of an Optimal Control Problem with Probabilistic and Almost Sure State Constraints

We consider the optimal control of a PDE with random source term subject to probabilistic or almost sure state constraints. In the main theoretical result, we provide an exact formula for the Clarke subdifferential of the probability function without a restrictive assumption made in an earlier paper...

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Vydané v:	Journal of optimization theory and applications Ročník 204; číslo 1; s. 7
Hlavní autori:	Geiersbach, Caroline, Henrion, René, Pérez-Aros, Pedro
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Springer US 01.01.2025 Springer Nature B.V
Predmet:	Algorithms Applications of Mathematics Approximation Calculus of Variations and Optimal Control; Optimization Comparative studies Constraints Decomposition Engineering Investigations Mathematics Mathematics and Statistics Operations Research/Decision Theory Optimal control Optimization Probability theory Risk aversion Statistical analysis Theory of Computation 49K45 Risk averse PDE-constrained optimization under uncertainty 49K20 49J52 Robust constraints Chance constraints 90C15 Stochastic optimization Almost sure constraints 35Q93
ISSN:	0022-3239, 1573-2878
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