Iterative algorithms for multiscale state estimation. I: Concepts

DOI10.1023/A:1012645826935MaRDI QIDQ5956968zbMATH OpenOpenAlexWikidataFDO

Authors Thomas Binder, Luise Blank, Wolfgang Marquardt, Wolfgang Dahmen

Publication date 26 February 2002

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1012645826935

zbMATH Keywords

adaptive refinement strategiesdiscretizationhierarchical optimizationill-conditioningKarush-Kuhn-Tucker systemnested iteration schemeresolutionUzawa algorithmwavelets

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Numerical methods for wavelets (65T60) Hierarchical systems (93A13) Estimation and detection in stochastic control theory (93E10)

Review text

A new class of hierarchical optimization problems with varying discretization schemes which increase the resolution are proposed. The approach is based on Garlerkin discretizations combined with wavelets, which provide good preconditioner and facilitate suitable adaptive refinement strategies. Firstly one describes the model and the source of ill-conditioning, then the corresponding Karush-Kuhn-Tucker system is given in wavelet coordinates, and the optimization so obtained is solved by using an Uzawa algorithm. Then ill-conditioning of the KKK system is considered, and the nested iteration scheme for the resolution of the sequence of systems is outlined. For Part II, see ibid. 111, 501-527 (2001; Zbl 1002.93059).

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Cited in

(6)

• A modified hybrid genetic algorithm for solving nonlinear optimal control problems
• On sequential multiscale inversion and data assimilation
• Multiscale concepts for moving horizon optimization
• A control parameterization approach with variable time nodes for optimal control problems
• Multiply-rooted multiscale models for large-scale estimation
• Iterative algorithms for multiscale state estimation. II: Numerical investigations

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