Stochastic optimization theory in Hilbert spaces—1

We study a class of stochastic optimization problems in which the state as well as the observation spaces are permitted to be (Hilbert spaces) of non-finite dimension. Although there have been previous attempts in the Hilbert space setting, our results, techniques, as well as applications, are totally different. We initiate the use of Gauss measure on a Hilbert space even though it is only finitely additive; and an associated theory of white noise, in contrast to the Wiener process theory, which is novel even in the finite dimensional case. We only treat time-invariant systems, but no strong ellipticity or coercivity conditions are used; we exploit the theory of semigroups of operators in contrast to the Lions-Magenes theory. A key result involves a far-reaching generalization of the Factorization theorem of Krein. We apply the results to the problem of boundary observation and control for partial differential equations. By the creation of a special state space, we can apply the theory to problems in which the state equations are finitedimensional but the noise does not have a rational spectrum. In a final section, we present a stochastic theory for inverse problems (System Identification) in the Hilbert space setting. The basic theoretical problem is the calculation of R-N derivatives for finitely additive measures. A fundamental result concerns Identifiability; in particular the identifiability of diffusion coefficients from boundary data is treated here for the first time.