Linear multistep methods for optimal control problems and applications to hyperbolic relaxation systems

DOI10.1016/J.AMC.2019.02.021zbMATH Open1428.49003arXiv1807.08547OpenAlexW2922114113WikidataQ128229432 ScholiaQ128229432MaRDI QIDQ2011122FDOQ2011122

Michael Herty, Giacomo Albi, Lorenzo Pareschi

Publication date: 28 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Abstract: We are interested in high-order linear multistep schemes for time discretization of adjoint equations arising within optimal control problems. First we consider optimal control problems for ordinary differential equations and show loss of accuracy for Adams-Moulton and Adams-Bashford methods, whereas BDF methods preserve high--order accuracy. Subsequently we extend these results to semi--lagrangian discretizations of hyperbolic relaxation systems. Computational results illustrate theoretical findings.

Full work available at URL: https://arxiv.org/abs/1807.08547

zbMATH Keywords

conservation lawsoptimal control problemssemi-Lagrangian schemeslinear multistep methodshyperbolic relaxation systems

Mathematics Subject Classification ID

Hyperbolic conservation laws (35L65) PDEs in connection with control and optimization (35Q93) Existence theories for optimal control problems involving ordinary differential equations (49J15) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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Cited In (7)

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• Discrete adjoint computations for relaxation Runge-Kutta methods
• Explicit Stabilized Integrators for Stiff Optimal Control Problems
• Implicit peer triplets in gradient-based solution algorithms for ODE constrained optimal control
• Variable-stepsize implicit peer triplets in ODE constrained optimal control
• Discrete LQR and ILQR methods based on high order Runge-Kutta discretizations

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