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Parabolic PDE-constrained optimal control under uncertainty with entropic risk measure using quasi-Monte Carlo integration

Philipp A. Guth, Vesa Kaarnioja, Frances Y. Kuo, Claudia Schillings, Ian H. Sloan. Parabolic PDE-constrained optimal control under uncertainty with entropic risk measure using quasi-Monte Carlo integration. Numerische Mathematik, 156(2):565-608, April 2024. [doi]

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