A multi-mode expansion method for boundary optimal control problems constrained by random Poisson equations

This paper develops efficient numerical algorithms for the optimal control problem constrained by Poisson equations with uncertain diffusion coefficients. We consider both unconstrained condition and box-constrained condition for the control. The algorithms are based upon a multi-mode expansion (MME) for the random state, the finite element approximation for the physical space and the alternating direction method of multipliers (ADMM) or two-block ADMM for the discrete optimization systems. The compelling aspect of our method is that, target random constrained control problem can be approximated to one deterministic constrained control problem under a state variable substitution equality. Thus, the computing resource, especially the memory consumption, can be reduced sharply. The convergence rates of the proposed algorithms are discussed in the paper. We also present some numerical examples to show the performance of our algorithms.