Numerical Resolution of Robust Optimal Control Problems

Abstract

Both gradient-based methods and methods based on the resolution of first-order optimality conditions may be used for solving numerically the robust optimal control problems presented in the preceding chapters. In both cases, the main difficulty arises in the numerical approximation of statistical quantities of interest associated to solutions of random PDEs. To handle this issue, it is assumed that the random inputs of the underlying PDEs depend on a finite number of random variables.