Work

A new ensemble Monte Carlo method for a parabolic optimal control problem with random coefficient

Year: 2025

Type: article

Abstract: A new ensemble Monte Carlo (EMC) method is proposed and applied to numerically simulate a parabolic optimal control problem with random coefficients. The state equation is discretized by the EMC method, which shares a common coefficient matrix with multiple right-hand vectors. It saves the computational cost compared with the Monte Carlo (MC) method. For this new EMC method, it is unconditionally stable and does not need to subgroup the samples in the simulation. Under natural regularity condition, some error estimates are obtained for the EMC approximation of the optimal control problem. Two numerical examples are presented to test the theoretical results.

Source: Networks and Heterogeneous Media

DOI: 10.3934/nhm.2025031

Authors: Yan Guo, Xianbing Luo, Changlun Ye

Institutions: Guizhou University, Guizhou Normal University

Language: English

Topic: Probabilistic and Robust Engineering Design

Subfield: Statistics, Probability and Uncertainty

Field: Decision Sciences

Domain: Social Sciences

Open Access status: diamond

Funder: National Natural Science Foundation of China

Award: G8730384560