Date | May 26, 2015 |
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Speaker | 심임보 |

Dept. | NIMS |

Room | 선택 |

Time | 16:00-17:00 |

*세미나 장소: 25동 114호

We propose and analyze a multilevel Monte Carlo finite element method (MLMC-FEM) for stochastic optimal control problem. Stochastic optimal control problem constrained by stochastic partial differential equations (PDEs) consists in finding a control function which minimizes a cost functional subject to a constraint in the form of PDEs. The proposed method leads to decrease to log-linear work and memory in the number of unknowns of a single level calculation. We analyze the MLMC-FEM of the solution based on the nested mesh for Finite Element spaces. We demonstrate the accuracy and usefulness of our method through numerical experiments.

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