Tuesday, March 14, 2023 - 14:15 in V5-148
Error estimates for two types of space-time discretization of linear-quadratic optimal control problems subject to stochastic heat equations
A talk in the Stochastic Numerics Seminar series by
Yanqing Wang from Southwest University, China
| Abstract: |
In this talk, we consider time-implicit, finite-element
based space-time schemes of SLQ problems, i.e. the system is
a linear controlled stochastic heat equation, and the cost
functional is quadratic with respect to state and control
variables, two types of schemes are proposed--an open-loop
based discretization and a closed-loop based one, and prove
their convergence rates. Relying on Pontryagin’s maximum
principle, the open-loop based discretization is equivalent to
approximate coupled forward-backward stochastic heat
equations. While the closed-loop based scheme relies on
stochastic LQ theory, which is equivalent to solve differential
Riccati equations. Both schemes are designed by virtue of
stochastic optimal control theory. This is a joint work with Prof.
Andreas Prohl (University of Tuebingen).
Within the CRC this talk is associated to the project(s): B3 |
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