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• W3195280213 abstract "The study of optimal control problems under uncertainty plays an important role in scientific numerical simulations. This class of optimization problems is strongly utilized in engineering, biology and finance. In this paper, a stochastic gradient method is proposed for the numerical resolution of a nonconvex stochastic optimization problem on a Hilbert space. We show that, under suitable assumptions, strong or weak accumulation points of the iterates produced by the method converge almost surely to stationary points of the original optimization problem. Measurability and convergence rates of a stationarity measure are handled, filling a gap for applications to nonconvex infinite dimensional stochastic optimization problems. The method is demonstrated on an optimal control problem constrained by a class of elliptic semilinear partial differential equations (PDEs) under uncertainty." @default.
• W3195280213 created "2021-08-30" @default.
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• W3195280213 date "2023-08-01" @default.
• W3195280213 modified "2023-09-27" @default.
• W3195280213 title "A stochastic gradient method for a class of nonlinear PDE-constrained optimal control problems under uncertainty" @default.
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• W3195280213 doi "https://doi.org/10.1016/j.jde.2023.04.034" @default.
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