Preconditioning of active-set Newton methods for PDE-constrained optimal control problems
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Theory of matrix inversion and generalized inverses (15A09) Existence theories for optimal control problems involving partial differential equations (49J20) Preconditioners for iterative methods (65F08) Computational methods for sparse matrices (65F50) Numerical computation of solutions to systems of equations (65H10) Numerical mathematical programming methods (65K05)
Abstract: We address the problem of preconditioning a sequence of saddle point linear systems arising in the solution of PDE-constrained optimal control problems via active-set Newton methods, with control and (regularized) state constraints. We present two new preconditioners based on a full block matrix factorization of the Schur complement of the Jacobian matrices, where the active-set blocks are merged into the constraint blocks. We discuss the robustness of the new preconditioners with respect to the parameters of the continuous and discrete problems. Numerical experiments on 3D problems are presented, including comparisons with existing approaches based on preconditioned conjugate gradients in a nonstandard inner product.
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