Risk-averse optimal control of random elliptic variational inequalities
Year: 2025
Type: article
Abstract: We consider a risk-averse optimal control problem governed by an elliptic variational inequality (VI) subject to random inputs. By deriving KKT-type optimality conditions for a penalised and smoothed problem and studying convergence of the stationary points with respect to the penalisation parameter, we obtain two forms of stationarity conditions. The lack of regularity with respect to the uncertain parameters and complexities induced by the presence of the risk measure give rise to new challenges unique to the stochastic setting. We also propose a path-following stochastic approximation algorithm using variance reduction techniques and demonstrate the algorithm on a modified benchmark problem.
DOI: 10.1051/cocv/2025045
Language: English
Subfield: Computational Theory and Mathematics
Field: Computer Science
Domain: Physical Sciences
Open Access status: hybrid
Estimated APC paid:
OpenAlex ID: W4410287705