Block-Diagonal Preconditioning for Optimal Control Problems Constrained by PDEs with Uncertain Inputs

DOI10.1137/15M1018502zbMath1382.65074WikidataQ115214804 ScholiaQ115214804MaRDI QIDQ2806184

Peter Benner, Martin Stoll, Akwum Onwunta

Publication date: 17 May 2016

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Schur complement; preconditioning; iterative methods; PDE-constrained optimization; saddle-point system; low-rank solution; stochastic Galerkin system

Mathematics Subject Classification ID

65F10: Iterative numerical methods for linear systems

35R60: PDEs with randomness, stochastic partial differential equations

49M25: Discrete approximations in optimal control

65F08: Preconditioners for iterative methods

Uses Software

• HSL_MI20
• TT Toolbox
• GitHub