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International Journal for Uncertainty Quantification

Impact factor: 0.967

ISSN Print: 2152-5080
ISSN Online: 2152-5099

Open Access

International Journal for Uncertainty Quantification

DOI: 10.1615/Int.J.UncertaintyQuantification.2015010310
pages 233-254

A HERMITE SPECTRAL METHOD FOR A FOKKER-PLANCK OPTIMAL CONTROL PROBLEM IN AN UNBOUNDED DOMAIN

Masoumeh Mohammadi
Institut fur Mathematik, Universitat Wurzburg, Campus Hubland Nord, Emil-Fischer-Str. 30, 97074 Wurzburg, Germany
Alfio Borzi
Institut fur Mathematik, Universitat Wurzburg, Campus Hubland Nord, Emil-Fischer-Str. 30, 97074 Wurzburg, Germany

ABSTRACT

A Hermite spectral discretization method to approximate the solution of a Fokker-Planck optimal control problem in an unbounded domain is presented. It is proved that the solution of the corresponding discretized optimality system is spectrally accurate and the numerical scheme preserves the required conservativity property of the forward solution. The theoretical results are verified with numerical experiments.