Optimal Control of Stochastic Variational Inequalities
Keywords:
Stochastic optimal control, partial differential equations with random data, stochastic approximation, regularization, penalization.Abstract
This work focuses on the optimal control problem for elliptic stochastic variational inequalities where the diffusivity coefficient and the source term are random fields. Besides recalling the existence theorem for the stochastic elliptic variational inequalities, we also give an existence result for the optimal control problem, which is posed as a stochastic optimization problem. We conduct two preliminary computational experiments by coupling the penalty method with the stochastic approximation approach.
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