Stochastic discontinuous Galerkin methods for robust deterministic control of convection-diffusion equations with uncertain coefficients

We investigate a numerical behavior of robust deterministic optimal control problem subject to a convection-diffusion equation containing uncertain inputs. Stochastic Galerkin approach, turning the original optimization problem containing uncertainties into a large system of deterministic problems,...

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Published inAdvances in computational mathematics Vol. 49; no. 2
Main Authors Çi̇loğlu, Pelin, Yücel, Hamdullah
Format Journal Article
LanguageEnglish
Published New York Springer US 01.04.2023
Springer Nature B.V
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ISSN1019-7168
1572-9044
DOI10.1007/s10444-023-10015-5

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Abstract We investigate a numerical behavior of robust deterministic optimal control problem subject to a convection-diffusion equation containing uncertain inputs. Stochastic Galerkin approach, turning the original optimization problem containing uncertainties into a large system of deterministic problems, is applied to discretize the stochastic domain, while a discontinuous Galerkin method is preferred for the spatial discretization due to its better convergence behavior for optimization problems governed by convection dominated PDEs. Error analysis is done for the state and adjoint variables in the energy norm, while the estimate of deterministic control is obtained in the L 2 -norm. Large matrix system emerging from the stochastic Galerkin method is addressed by the low-rank version of GMRES method, which reduces both the computational complexity and the memory requirements by employing Kronecker-product structure of the obtained linear system. Benchmark examples with and without control constraints are presented to illustrate the efficiency of the proposed methodology.
AbstractList We investigate a numerical behavior of robust deterministic optimal control problem subject to a convection-diffusion equation containing uncertain inputs. Stochastic Galerkin approach, turning the original optimization problem containing uncertainties into a large system of deterministic problems, is applied to discretize the stochastic domain, while a discontinuous Galerkin method is preferred for the spatial discretization due to its better convergence behavior for optimization problems governed by convection dominated PDEs. Error analysis is done for the state and adjoint variables in the energy norm, while the estimate of deterministic control is obtained in the L 2 -norm. Large matrix system emerging from the stochastic Galerkin method is addressed by the low-rank version of GMRES method, which reduces both the computational complexity and the memory requirements by employing Kronecker-product structure of the obtained linear system. Benchmark examples with and without control constraints are presented to illustrate the efficiency of the proposed methodology.
We investigate a numerical behavior of robust deterministic optimal control problem subject to a convection-diffusion equation containing uncertain inputs. Stochastic Galerkin approach, turning the original optimization problem containing uncertainties into a large system of deterministic problems, is applied to discretize the stochastic domain, while a discontinuous Galerkin method is preferred for the spatial discretization due to its better convergence behavior for optimization problems governed by convection dominated PDEs. Error analysis is done for the state and adjoint variables in the energy norm, while the estimate of deterministic control is obtained in the L2-norm. Large matrix system emerging from the stochastic Galerkin method is addressed by the low-rank version of GMRES method, which reduces both the computational complexity and the memory requirements by employing Kronecker-product structure of the obtained linear system. Benchmark examples with and without control constraints are presented to illustrate the efficiency of the proposed methodology.
ArticleNumber 16
Author Çi̇loğlu, Pelin
Yücel, Hamdullah
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  organization: Institute of Applied Mathematics, Middle East Technical University
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Keywords Stochastic discontinuous Galerkin
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Snippet We investigate a numerical behavior of robust deterministic optimal control problem subject to a convection-diffusion equation containing uncertain inputs....
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SubjectTerms Computational mathematics
Computational Mathematics and Numerical Analysis
Computational Science and Engineering
Convection-diffusion equation
Diffusion
Error analysis
Galerkin method
Mathematical and Computational Biology
Mathematical Modeling and Industrial Mathematics
Mathematics
Mathematics and Statistics
Optimal control
Optimization
Robust control
Visualization
Title Stochastic discontinuous Galerkin methods for robust deterministic control of convection-diffusion equations with uncertain coefficients
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