Preconditioned iterative methods for optimal control problems with time-dependent PDEs as constraints

Abstract

In this work, we study fast and robust solvers for optimal control problems with Partial Differential Equations (PDEs) as constraints. Speci cally, we devise preconditioned iterative methods for time-dependent PDE-constrained optimization problems, usually when a higher-order discretization method in time is employed as opposed to most previous solvers. We also consider the control of stationary problems arising in uid dynamics, as well as that of unsteady Fractional Differential Equations (FDEs). The preconditioners we derive are employed within an appropriate Krylov subspace method.

The fi rst key contribution of this thesis involves the study of fast and robust preconditioned iterative solution strategies for the all-at-once solution of optimal control problems with time-dependent PDEs as constraints, when a higher-order discretization method in time is employed. In fact, as opposed to most work in preconditioning this class of problems, where a ( first-order accurate) backward Euler method is used for the discretization of the time derivative, we employ a (second-order accurate) Crank-Nicolson method in time. By applying a carefully tailored invertible transformation, we symmetrize the system obtained, and then derive a preconditioner for the resulting matrix. We prove optimality of the preconditioner through bounds on the eigenvalues, and test our solver against a widely-used preconditioner for the linear system arising from a backward Euler discretization. These theoretical and numerical results demonstrate the effectiveness and robustness of our solver with respect to mesh-sizes and regularization parameter. Then, the optimal preconditioner so derived is generalized from the heat control problem to time-dependent convection{diffusion control with Crank- Nicolson discretization in time. Again, we prove optimality of the approximations of the main blocks of the preconditioner through bounds on the eigenvalues, and, through a range of numerical experiments, show the effectiveness and robustness of our approach with respect to all the parameters involved in the problem.

For the next substantial contribution of this work, we focus our attention on the control of problems arising in fluid dynamics, speci fically, the Stokes and the Navier-Stokes equations. We fi rstly derive fast and effective preconditioned iterative methods for the stationary and time-dependent Stokes control problems, then generalize those methods to the case of the corresponding Navier-Stokes control problems when employing an Oseen approximation to the non-linear term. The key ingredients of the solvers are a saddle-point type approximation for the linear systems, an inner iteration for the (1,1)-block accelerated by a preconditioner for convection-diffusion control problems, and an approximation to the Schur complement based on a potent commutator argument applied to an appropriate block matrix. Through a range of numerical experiments, we show the effectiveness of our approximations, and observe their considerable parameter-robustness. The fi nal chapter of this work is devoted to the derivation of efficient and robust solvers for convex quadratic FDE-constrained optimization problems, with box constraints on the state and/or control variables. By employing an Alternating Direction Method of Multipliers for solving the non-linear problem, one can separate the equality from the inequality constraints, solving the equality constraints and then updating the current approximation of the solutions. In order to solve the equality constraints, a preconditioner based on multilevel circulant matrices is derived, and then employed within an appropriate preconditioned Krylov subspace method. Numerical results show the e ciency and scalability of the strategy, with the cost of the overall process being proportional to N log N, where N is the dimension of the problem under examination. Moreover, the strategy presented allows the storage of a highly dense system, due to the memory required being proportional to N .