Preconditioners for Karush-Kuhn-Tucker Matrices Arising in the Optimal Control of Distributed Systems
In this paper preconditioners for linear systems arising in interior-point methods for the solution of distributed control problems are derived and analyzed. The matrices K in these systems have a block structure with blocks obtained from the discretization of the objective function and the governing differential equation. The preconditioners have a block structure with blocks being composed of preconditioners for the subblocks of the system matrix K. The effectiveness of the preconditioners is analyzed and numerical examples for an elliptic model problem are shown.
1991 Mathematics Subject Classification49M30 49N10 90C06 90C20
Key words and phrasesPreconditioners iterative methods interior point methods linearquadratic optimal control problems
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