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

DOI10.1016/J.AMC.2019.02.021MaRDI QIDQ2011122zbMATH OpenOpenAlexWikidataFDO

Authors Lorenzo Pareschi, Giacomo Albi, Michael Herty

Publication date 28 November 2019

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

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)

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.

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Cited in

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• High order semi-implicit multistep methods for time-dependent partial differential equations
• Discrete adjoint implicit peer methods in optimal control
• 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
• Time discretizations for numerical optimisation of hyperbolic problems
• 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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