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Accession Number
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ADA564030
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Title
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Numerical Solution of Optimal Control Problem under SPDE Constraints.
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Publication Date
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Oct 2011
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Media Count
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13p
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Personal Author
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H. Chi Y. Cao
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Abstract
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The overall goal of this AFOSR sponsored research program is to construct fast and efficient numerical algorithms for solving stochastic partial differential equations and apply them to solve optimal control problems under uncertainty which is described by stochastic partial differential equations. It is well understood that effective numerical methods for stochastic partial differential equations (SPDES) are essential for uncertainty quantification. In the last decade much progress has been made in the construction of numerical algorithms to efficiently solve SPDES with random coefficients and white noise perturbations. However, high dimensionality and low regularity are still the bottleneck in solving real world applicable SPDES with efficient numerical methods. This project is intended to address the mathematical aspects of numerical approximations of SPDES, including error analysis and complexity analysis and development of new efficient numerical algorithms.
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Keywords
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Algorithms
Approximation(Mathematics)
Control
High order numerical methods
Kronecker sequences
Monte carlo method
Partial differential equations
Quantitative analysis
Sequences(Mathematics)
Spdes(Stochastic partial differential equations)
Stochastic stokes equations
Uncertainty
Uncertainty quantification
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Source Agency
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Non Paid ADAS
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NTIS Subject Category
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72B - Algebra, Analysis, Geometry, & Mathematical Logic
72F - Statistical Analysis
72E - Operations Research
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Corporate Author
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Florida Agricultural and Mechanical Univ., Tallahassee.
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Document Type
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Technical report
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Title Note
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Final rept. 15 Apr 2008-31 May 2011.
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NTIS Issue Number
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1302
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Contract Number
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FA9550-08-1-0119
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