A Multigrid Scheme for Elliptic Constrained Optimal Control Problems
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A multigrid scheme for the solution of constrained optimal control problems discretized by finite differences is presented. This scheme is based on a new relaxation procedure that satisfies the given constraints pointwise on the computational grid. In applications, the cases of distributed and boundary control problems with box constraints are considered. The efficient and robust computational performance of the present multigrid scheme allows to investigate bang-bang control problems.
Keywordsconstrained optimal control problems finite differences multigrid methods
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