Multilevel Stochastic Gradient Descent for Risk-Averse PDE-Constrained Optimization

Abstract

We present recent advances in applying and analyzing multilevel stochastic gradient descent algorithms to risk-averse, three-dimensional PDE-constrained optimization problems. The algorithm uses adaptive multilevel Monte Carlo gradient estimates, provides parallel scalability as well as improved convergence rates and computational complexity compared to standard batched stochastic gradient descent methods. We study the method in computationally demanding settings using three-dimensional elliptic diffusion problems and large risk-aversion parameters.