Smoothed Moreau-Yosida Tensor Train Approximation of State-constrained Optimization Problems under Uncertainty (2301.08684v2)

Abstract: We propose an algorithm to solve optimization problems constrained by partial (ordinary) differential equations under uncertainty, with almost sure constraints on the state variable. To alleviate the computational burden of high-dimensional random variables, we approximate all random fields by the tensor-train decomposition. To enable efficient tensor-train approximation of the state constraints, the latter are handled using the Moreau-Yosida penalty, with an additional smoothing of the positive part (plus/ReLU) function by a softplus function. In a special case of a quadratic cost minimization constrained by linear elliptic partial differential equations, and some additional constraint qualification, we prove strong convergence of the regularized solution to the optimal control. This result also proposes a practical recipe for selecting the smoothing parameter as a function of the penalty parameter. We develop a second order Newton type method with a fast matrix-free action of the approximate Hessian to solve the smoothed Moreau-Yosida problem. This algorithm is tested on benchmark elliptic problems with random coefficients, optimization problems constrained by random elliptic variational inequalities, and a real-world epidemiological model with 20 random variables. These examples demonstrate mild (at most polynomial) scaling with respect to the dimension and regularization parameters.