Risk-averse optimization of partial differential equations with random inputs

27 April 2017
Thomas Surowiec

Almost all real-world applications involve a degree of uncertainty. This may be the result of noisy measurements, restrictions on observability, or simply unforeseen events. Since many models in both engineering and the natural sciences make use of partial differential equations (PDEs), it is natural to consider PDEs with random inputs. In this context, passing from modelling and simulation to optimization or control results in stochastic PDE-constrained optimization problems. This leads to a number of theoretical, algorithmic, and numerical challenges.

 From a mathematical standpoint, the solution of the underlying PDE is a random field, which in turn makes the quantity of interest or the objective function an implicitly defined random variable. In order to minimize this distributed objective, one can use, e.g., stochastic order constraints, a distributionally robust approach, or risk measures. In this talk, we will make use of risk measures.

After motivating the approach via a model for the mitigation of an airborne pollutant, we build up an analytical framework and introduce some useful risk measures. This allows us to prove the existence of solutions and derive optimality conditions. We then present several approximation schemes for handling non-smooth risk measures in order to leverage existing numerical methods from PDE-constrained optimization. Finally, we discuss solutions techniques and illustrate our results with numerical examples.

  • Computational Mathematics and Applications Seminar