An Inexact Bundle Method and Subgradient Computations for Optimal Control of Deterministic and Stochastic Obstacle Problems

Lukas Hertlein, Anne Therese Rauls, Michael Ulbrich, Stefan Ulbrich

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

2 Scopus citations

Abstract

The aim of this work is to develop an inexact bundle method for nonsmooth nonconvex minimization in Hilbert spaces and to investigate its application to optimal control problems with deterministic or stochastic obstacle problems as constraints. A central requirement is that (approximate) subgradients can be obtained at given points. The second part of the paper thus studies in detail how subgradients can be obtained for optimal control problems governed by (stochastic) obstacle problems.

Original languageEnglish
Title of host publicationInternational Series of Numerical Mathematics
PublisherSpringer Science and Business Media Deutschland GmbH
Pages467-497
Number of pages31
DOIs
StatePublished - 2022

Publication series

NameInternational Series of Numerical Mathematics
Volume172
ISSN (Print)0373-3149
ISSN (Electronic)2296-6072

Keywords

  • Bundle method
  • Generalized derivatives
  • Nonsmooth optimization
  • Obstacle problem
  • Optimal control
  • Stochastic obstacle problem
  • Variational inequalities

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