Taylor approximation and variance reduction for PDE-constrained optimal control under uncertainty.
Peng ChenUmberto VillaOmar GhattasPublished in: J. Comput. Phys. (2019)
Keyphrases
- optimal control
- variance reduction
- gradient estimation
- monte carlo
- importance sampling
- dynamic programming
- policy gradient
- confidence intervals
- partial differential equations
- sample size
- control strategy
- bias variance decomposition
- anisotropic diffusion
- reinforcement learning
- naive bayes classifier
- level set
- optimal control problems
- image processing
- closed form
- image denoising
- continuous functions
- computational complexity
- actor critic