Sparse Solutions in Optimal Control of PDEs with Uncertain Parameters: The Linear Case

Abstract

We study sparse solutions of optimal control problems governed by PDEs with uncertain coefficients. We propose two formulations, one where the solution is a deterministic control optimizing the mean objective, and a formulation aiming at stochastic controls that share the same sparsity structure. In both formulations, regions where the controls do not vanish can be interpreted as optimal locations for placing control devices. In this paper, we focus on linear PDEs with linearly entering uncertain parameters. Under these assumptions, the deterministic formulation reduces to a problem with known structure, and thus we mainly focus on the stochastic control formulation. Here, shared sparsity is achieved by incorporating the $L^1$-norm of the mean of the pointwise squared controls in the objective. We reformulate the problem using a norm reweighting function that is defined over physical space only and thus helps to avoid approximation of the random space using samples or quadrature. We show that a fixed point algorithm applied to the norm reweighting formulation leads to a variant of the well-studied iterative reweighted least squares (IRLS) algorithm, and we propose a novel preconditioned Newton-conjugate gradient method to speed up the IRLS algorithm. We combine our algorithms with low-rank operator approximations, for which we provide estimates of the truncation error. We carefully examine the computational complexity of the resulting algorithms. The sparsity structure of the optimal controls and the performance of the solution algorithms are studied numerically using control problems governed by the Laplace and Helmholtz equations. In these experiments the Newton variant clearly outperforms the IRLS method.