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Accession Number ADA564030
Title Numerical Solution of Optimal Control Problem under SPDE Constraints.
Publication Date Oct 2011
Media Count 13p
Personal Author H. Chi Y. Cao
Abstract 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.
Keywords Algorithms
High order numerical methods
Kronecker sequences
Monte carlo method
Partial differential equations
Quantitative analysis
Spdes(Stochastic partial differential equations)
Stochastic stokes equations
Uncertainty quantification

Source Agency Non Paid ADAS
NTIS Subject Category 72B - Algebra, Analysis, Geometry, & Mathematical Logic
72F - Statistical Analysis
72E - Operations Research
Corporate Author Florida Agricultural and Mechanical Univ., Tallahassee.
Document Type Technical report
Title Note Final rept. 15 Apr 2008-31 May 2011.
NTIS Issue Number 1302
Contract Number FA9550-08-1-0119

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