Analytic Regularity and GPC Approximation for Control Problems Constrained by Linear Parametric Elliptic and Parabolic PDEs

This paper deals with linear-quadratic optimal control problems constrained by a parametric or stochastic elliptic or parabolic PDE. We address the (difficult) case that the state equation depends on a countable number of parameters i.e., on $\sigma_j$ with $j\in\N$, and that the PDE operator may depend non-affinely on the parameters. We consider tracking-type functionals and distributed as well as boundary controls. Building on recent results in [CDS1, CDS2], we show that the state and the control are analytic as functions depending on these parameters $\sigma_j$. We establish sparsity of generalized polynomial chaos (gpc) expansions of both, state and control, in terms of the stochastic coordinate sequence $\sigma = (\sigma_j)_{j\ge 1}$ of the random inputs, and prove convergence rates of best $N$-term truncations of these expansions. Such truncations are the key for subsequent computations since they do {\em not} assume that the stochastic input data has a finite expansion. In the follow-up paper [KS2], we explain two methods how such best $N$-term truncations can practically be computed, by greedy-type algorithms as in [SG, Gi1], or by multilevel Monte-Carlo methods as in [KSS]. The sparsity result allows in conjunction with adaptive wavelet Galerkin schemes for sparse, adaptive tensor discretizations of control problems constrained by linear elliptic and parabolic PDEs developed in [DK, GK, K], see [KS2]

Mini-Workshop: Adaptive Methods for Control Problems Constrained by Time-Dependent PDEs

Optimization problems constrained by time-dependent PDEs (Partial Differential Equations) are challenging from a computational point of view: even in the simplest case, one needs to solve a system of PDEs coupled globally in time and space for the unknown solutions (the state, the costate and the control of the system). Typical and practically relevant examples are the control of nonlinear heat equations as they appear in laser hardening or the thermic control of flow problems (Boussinesq equations). Specifically for PDEs with a long time horizon, conventional time-stepping methods require an enormous storage of the respective other variables. In contrast, adaptive methods aim at distributing the available degrees of freedom in an a-posteriori-fashion to capture singularities and are, therefore, most promising

New Discretization Methods for the Numerical Approximation of PDEs

The construction and mathematical analysis of numerical methods for PDEs is a fundamental area of modern applied mathematics. Among the various techniques that have been proposed in the past, some – in particular, finite element methods, – have been exceptionally successful in a range of applications. There are however a number of important challenges that remain, including the optimal adaptive finite element approximation of solutions to transport-dominated diffusion problems, the efficient numerical approximation of parametrized families of PDEs, and the efficient numerical approximation of high-dimensional partial differential equations (that arise from stochastic analysis and statistical physics, for example, in the form of a backward Kolmogorov equation, which, unlike its formal adjoint, the forward Kolmogorov equation, is not in divergence form, and therefore not directly amenable to finite element approximation, even when the spatial dimension is low). In recent years several original and conceptionally new ideas have emerged in order to tackle these open problems. The goal of this workshop was to discuss and compare a number of novel approaches, to study their potential and applicability, and to formulate the strategic goals and directions of research in this field for the next five years

Discontinuous Galerkin Time Discretization Methods for Parabolic Problems with Linear Constraints

We consider time discretization methods for abstract parabolic problems with inhomogeneous linear constraints. Prototype examples that fit into the general framework are the heat equation with inhomogeneous (time dependent) Dirichlet boundary conditions and the time dependent Stokes equation with an inhomogeneous divergence constraint. Two common ways of treating such linear constraints, namely explicit or implicit (via Lagrange multipliers) are studied. These different treatments lead to different variational formulations of the parabolic problem. For these formulations we introduce a modification of the standard discontinuous Galerkin (DG) time discretization method in which an appropriate projection is used in the discretization of the constraint. For these discretizations (optimal) error bounds, including superconvergence results, are derived. Discretization error bounds for the Lagrange multiplier are presented. Results of experiments confirm the theoretically predicted optimal convergence rates and show that without the modification the (standard) DG method has sub-optimal convergence behavior.Comment: 35 page

Computation and Learning in High Dimensions (hybrid meeting)

The most challenging problems in science often involve the learning and accurate computation of high dimensional functions. High-dimensionality is a typical feature for a multitude of problems in various areas of science. The so-called curse of dimensionality typically negates the use of traditional numerical techniques for the solution of high-dimensional problems. Instead, novel theoretical and computational approaches need to be developed to make them tractable and to capture fine resolutions and relevant features. Paradoxically, increasing computational power may even serve to heighten this demand, since the wealth of new computational data itself becomes a major obstruction. Extracting essential information from complex problem-inherent structures and developing rigorous models to quantify the quality of information in a high-dimensional setting pose challenging tasks from both theoretical and numerical perspective. This has led to the emergence of several new computational methodologies, accounting for the fact that by now well understood methods drawing on spatial localization and mesh-refinement are in their original form no longer viable. Common to these approaches is the nonlinearity of the solution method. For certain problem classes, these methods have drastically advanced the frontiers of computability. The most visible of these new methods is deep learning. Although the use of deep neural networks has been extremely successful in certain application areas, their mathematical understanding is far from complete. This workshop proposed to deepen the understanding of the underlying mathematical concepts that drive this new evolution of computational methods and to promote the exchange of ideas emerging in various disciplines about how to treat multiscale and high-dimensional problems

Adaptive Numerical Methods for PDEs

This collection contains the extended abstracts of the talks given at the Oberwolfach Conference on “Adaptive Numerical Methods for PDEs”, June 10th - June 16th, 2007. These talks covered various aspects of a posteriori error estimation and mesh as well as model adaptation in solving partial differential equations. The topics ranged from the theoretical convergence analysis of self-adaptive methods, over the derivation of a posteriori error estimates for the finite element Galerkin discretization of various types of problems to the practical implementation and application of adaptive methods

A Space-Time Variational Method for Optimal Control Problems

We consider a space-time variational formulation of a PDE-constrained optimal control problem with box constraints on the control and a parabolic PDE with Robin boundary conditions. In this setting, the optimal control problem reduces to an optimization problem for which we derive necessary and sufficient optimality conditions. Next, we introduce a space-time (tensorproduct) discretization using finite elements in space and piecewise linear functions in time. This setting is known to be equivalent to a Crank-Nicolson time stepping scheme for parabolic problems. The optimization problem is solved by a projected gradient method. We show numerical comparisons for problems in 1d, 2d and 3d in space. It is shown that the classical semi-discrete primal-dual setting is more efficient for small problem sizes and moderate accuracy. However, the space-time discretization shows good stability properties and even outperforms the classical approach as the dimension in space and/or the desired accuracy increases.Comment: 20 page

Self-Adaptive Methods for PDE

[no abstract available