Stochastic optimization methods for the simultaneous control of parameter-dependent systems (Biccari, Deusto Spain)
Some recent results about the controllability of the heat equation
Speaker: Umberto Biccari
Affiliation: Chair of Computational Mathematics, Fundación Deusto and Universidad de Deusto, Bilbao, Spain
Abstract: We address the application of stochastic optimization methods for the simultaneous control of parameter-dependent systems. In particular, we focus on the classical Stochastic Gradient Descent (SGD) approach of Robbins and Monro, and on the recently developed Continuous Stochastic Gradient (CSG) algorithm. We consider the problem of computing simultaneous controls through the minimization of a cost functional defined as the superposition of individual costs for each realization of the system. We compare the performances of these stochastic approaches, in terms of their computational complexity, with those of the more classical Gradient Descent (GD) and Conjugate Gradient (CG) algorithms, and we discuss the advantages and disadvantages of each methodology. In agreement with well-established results in the machine learning context, we show how the SGD and CSG algorithms can significantly reduce the computational burden when treating control problems depending on a large number of parameters. This is corroborated by numerical experiments.