期刊
SIAM-ASA JOURNAL ON UNCERTAINTY QUANTIFICATION
卷 6, 期 2, 页码 787-815出版社
SIAM PUBLICATIONS
DOI: 10.1137/16M1086613
关键词
risk-averse; PDE-constrained optimization; risk measures; uncertainty quantification; stochastic optimization
资金
- DARPA EQUiPS [SNL 014150709]
- DFG grant [SU 963/1-1]
- Research Center MATHEON - Einstein Foundation Berlin [OT1]
Uncertainty is ubiquitous in virtually all engineering applications, and, for such problems, it is inadequate to simulate the underlying physics without quantifying the uncertainty in unknown or random inputs, boundary and initial conditions, and modeling assumptions. In this work, we introduce a general framework for analyzing risk-averse optimization problems constrained by partial differential equations (PDEs). In particular, we postulate conditions on the random variable objective function as well as the PDE solution that guarantee existence of minimizers. Furthermore, we derive optimality conditions and apply our results to the control of an environmental contaminant. Finally, we introduce a new risk measure, called the conditional entropic risk, that fuses desirable properties from both the conditional value-at-risk and the entropic risk measures.
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