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Article Dans Une Revue Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences Année : 2022

A stochastic regularized second-order iterative scheme for optimal control and inverse problems in stochastic partial differential equations

Akhtar Khan
Miguel Sama
  • Fonction : Auteur

Résumé

Numerous applied models used in the study of optimal control problems, inverse problems, shape optimization, machine learning, fractional programming, neural networks, image registration and so on lead to stochastic optimization problems in Hilbert spaces. Under a suitable convexity assumption on the objective function, a necessary and sufficient optimality condition for stochastic optimization problems is a stochastic variational inequality. This article presents a new stochastic regularized second-order iterative scheme for solving a variational inequality in a stochastic environment where the primary operator is accessed by employing sampling techniques. The proposed iterative scheme, which fits within the general framework of the stochastic approximation approach, has its almost-sure convergence analysis given in a Hilbert space. We test the feasibility and the efficacy of the proposed stochastic approximation approach for a stochastic optimal control problem and a stochastic inverse problem, both associated with a second-order stochastic partial differential equation. This article is part of the theme issue ‘Non-smooth variational problems and applications’.
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Dates et versions

hal-04469878 , version 1 (21-02-2024)

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Marc Dambrine, Akhtar Khan, Miguel Sama. A stochastic regularized second-order iterative scheme for optimal control and inverse problems in stochastic partial differential equations. Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences, 2022, 380 (2236), ⟨10.1098/rsta.2021.0352⟩. ⟨hal-04469878⟩
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