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math.OC2024
Optimal control under uncertainty with joint chance state constraints: almost-everywhere bounds, variance reduction, and application to (bi-)linear elliptic PDEs
Rene Henrion, Georg Stadler, Florian Wechsung
We study optimal control of PDEs under uncertainty with the state variable subject to joint chance constraints. The controls are deterministic, but the states are probabilistic due…
math.OC2023★ 1 cited
Numerical solution of an optimal control problem with probabilistic and almost sure state constraints
Caroline Geiersbach, René Henrion, Pedro Pérez-Aros
We consider the optimal control of a PDE with random source term subject to probabilistic or almost sure state constraints. In the main theoretical result, we provide an exact form…