Fast solution methods for convex quadratic optimization of fractional differential equations
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Abstract: In this paper, we present numerical methods suitable for solving convex quadratic Fractional Differential Equation (FDE) constrained optimization problems, with box constraints on the state and/or control variables. We develop an Alternating Direction Method of Multipliers (ADMM) framework, which uses preconditioned Krylov subspace solvers for the resulting sub-problems. The latter allows us to tackle a range of Partial Differential Equation (PDE) optimization problems with box constraints, posed on space-time domains, that were previously out of the reach of state-of-the-art preconditioners. In particular, by making use of the powerful Generalized Locally Toeplitz (GLT) sequences theory, we show that any existing GLT structure present in the problem matrices is preserved by ADMM, and we propose some preconditioning methodologies that could be used within the solver, to demonstrate the generality of the approach. Focusing on convex quadratic programs with time-dependent 2-dimensional FDE constraints, we derive multilevel circulant preconditioners, which may be embedded within Krylov subspace methods, for solving the ADMM sub-problems. Discretized versions of FDEs involve large dense linear systems. In order to overcome this difficulty, we design a recursive linear algebra, which is based on the Fast Fourier Transform (FFT). We manage to keep the storage requirements linear, with respect to the grid size , while ensuring an order computational complexity per iteration of the Krylov solver. We implement the proposed method, and demonstrate its scalability, generality, and efficiency, through a series of experiments over different setups of the FDE optimization problem.
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Cited in
(8)- Fractional PDE constrained optimization: an optimize-then-discretize approach with L-BFGS and approximate inverse preconditioning
- Fractional differential equation approach for convex optimization with convergence rate analysis
- Acceleration of the order of convergence of a family of fractional fixed-point methods and its implementation in the solution of a nonlinear algebraic system related to hybrid solar receivers
- On the solution of a nonconvex fractional quadratic problem
- Fractional PDE constrained optimization: box and sparse constrained problems
- On \(\tau\)-preconditioner for a novel fourth-order difference scheme of two-dimensional Riesz space-fractional diffusion equations
- Fast tensor product solvers for optimization problems with fractional differential equations as constraints
- Efficient preconditioning techniques for time-fractional PDE-constrained optimization problems
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