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Differential Equations Seminar: Dr. Ana Maria Soane

U.S. Naval Academy

Monday, October 8, 2018
11:00 AM - 12:00 PM
Mathematics/Psychology : 401
Title:  Multilevel preconditioners for optimal control problems with elliptic SPDE constraints.

Abstract: In this work we construct multigrid preconditioners to be used in the solution process of pathwise optimal control problems constrained by elliptic  partial  differential  equations  with  random  coefficients. We  combine  a  sparse-grid  collocation approach to discretize in the stochastic space with multigrid  techniques in the physical space. Numerical results show that the proposed  multigrid preconditioners lead to significant computational savings, with the  number of preconditioned conjugate gradient iterations decreasing as the resolution increases.