Multigrid preconditioning of linear systems for interior point methods applied to a class of box-constrained optimal control problems

DOI10.1137/100786502zbMATH Open1247.65081arXiv1004.0382OpenAlexW2963896597MaRDI QIDQ2882345FDOQ2882345

Authors: Andrei Drăgănescu, Cosmin Petra 

Publication date: 4 May 2012

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Abstract: In this article we construct and analyze multigrid preconditioners for discretizations of operators of the form D+K* K, where D is the multiplication with a relatively smooth positive function and K is a compact linear operator. These systems arise when applying interior point methods to the minimization problem min_u (||K u-f||^2 +b||u||^2) with box-constraints on the controls u. The presented preconditioning technique is closely related to the one developed by Draganescu and Dupont in [11] for the associated unconstrained problem, and is intended for large-scale problems. As in [11], the quality of the resulting preconditioners is shown to increase with increasing resolution but decreases as the diagonal of D becomes less smooth. We test this algorithm first on a Tikhonov-regularized backward parabolic equation with box-constraints on the control, and then on a standard elliptic-constrained optimization problem. In both cases it is shown that the number of linear iterations per optimization step, as well as the total number of fine-scale matrix-vector multiplications is decreasing with increasing resolution, thus showing the method to be potentially very efficient for truly large-scale problems.

Full work available at URL: https://arxiv.org/abs/1004.0382

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zbMATH Keywords

interior point methodsnumerical examplesPDE-constrained optimizationlarge-scale problemsmultigrid preconditioning

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Large-scale problems in mathematical programming (90C06) Interior-point methods (90C51) Numerical methods based on nonlinear programming (49M37) Preconditioners for iterative methods (65F08) Existence theories for optimal control problems involving partial differential equations (49J20)

Cited In (8)

• On block triangular preconditioners for the interior point solution of PDE-constrained optimization problems
• Multigrid preconditioning of linear systems for semi-smooth Newton methods applied to optimization problems constrained by smoothing operators
• Fast interior point solution of quadratic programming problems arising from PDE-constrained optimization
• Multigrid preconditioners for the Newton-Krylov method in the optimal control of the stationary Navier-Stokes equations
• A note on multigrid preconditioning for fractional PDE-constrained optimization problems
• Semi-convergence analysis of the GSS iteration methods for singular saddle point problems
• Optimal order multigrid preconditioners for the distributed control of parabolic equations with coarsening in space and time
• Optimal-order preconditioners for linear systems arising in the semismooth Newton solution of a class of control-constrained problems

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