Fast interior point solution of quadratic programming problems arising from PDE-constrained optimization
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interior point methodsmatrix systemsNewton iterationnumerical examplePDE-constrained optimizationPoisson control problempreconditioned iterative techniquesquadratic programming problems
Existence theories for optimal control problems involving partial differential equations (49J20) Newton-type methods (49M15) Numerical methods based on nonlinear programming (49M37) Preconditioners for iterative methods (65F08) Numerical optimization and variational techniques (65K10) Quadratic programming (90C20) Interior-point methods (90C51) Control/observation systems governed by partial differential equations (93C20)
The authors present a practical method for the interior point solution of a number of partial differential equations (PDE) -- constrained optimization problems with state and control constraints, by reformulating the minimization of the discretized system as a quadratic programming problem. In these approaches one is required to solve matrix systems of huge scale resulting from Newton iteration. A general methodology to design efficient preconditioners for such systems is proposed. This approach is derived from the matching strategy originally developed for a particular Poisson control problem [\textit{J. W. Pearson} and \textit{A. J. Wathen}, Numer. Linear Algebra Appl. 19, No. 5, 816--829 (2012; Zbl 1274.65187)]. Computational results show that this approach works well in practice.
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Cited in
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- Integer programming in psychology: a review and directions for future research
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