Document Type

Article

Publication Date

4-1-2010

Publication Title

SIAM Journal on Scientific Computing

Abstract

In this paper, we describe block matrix algorithms for the iterative solution of a large-scale linear-quadratic optimal control problem involving a parabolic partial differential equation over a finite control horizon. We consider an "all at once" discretization of the problem and formulate three iterative algorithms. The first algorithm is based on preconditioning a symmetric positive definite reduced linear system involving only the unknown control variables; however inner-outer iterations are required. The second algorithm modifies the first algorithm to avoid inner-outer iterations by introducing an auxiliary variable. It yields a symmetric indefinite system with a positive definite block preconditioner. The third algorithm is the central focus of this paper. It modifies the preconditioner in the second algorithm by a parallel-in-time preconditioner based on the parareal algorithm. Theoretical results show that the preconditioned algorithms have optimal convergence properties and parallel scalability. Numerical experiments confirm the theoretical results.

Volume

32

Issue

3

First Page Number

1180

Last Page Number

1200

DOI

10.1137/080717481

Publisher Statement

© 2010, SIAM Publications.

Included in

Mathematics Commons

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