Augmented Lagrangian algorithms for state constrained optimal control problems
The authors investigated the optimal control problem \[ (\mathcal P)\qquad \min J(y,u)=\frac 12 \int_\Omega (y-z_d)^2dx+\frac \alpha 2 \int_\Gamma (u-u_d)^2 d\sigma; \] \[ Ay=f \text{ in } \Omega,\quad y=u \text{ on } \Gamma,\qquad \Lambda_1y\in K,\quad u\in U; \] where \(f, z_d\in L^2(\Omega)\), \(u,u_d\in L^2(\Gamma)\), \(\Lambda_1\in \mathcal L(W,L)\), \(L\) is a finite dimensional Hilbert space, \(W=\{y\in L^2(\Omega)\mid Ay\in L^2(\Omega)\), \(y_d\in L^2(\Gamma)\}\), \(K\) and \(U\) are nonempty closed convex subsets of \(L\) and \(L^2(\Gamma)\), respectively, and \(A\) is a linear elliptic second order operator. The problem has a unique solution \((\bar y,\bar u)\). The authors present a new augmented Lagrangian algorithm solving the problem numerically. They use a Lagrangian function, where both the state equation and and the nonsmooth constraints \(\Lambda_1 \in K\), \(u\in U\) are augmented. The algorithm is based on the penalization of the state equation. The analysis of Gauss-Seidel splitting technique solving auxiliary problems is performed. For the entire collection see [Zbl 0889.00041].
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