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On Block Triangular Preconditioners for the Interior Point Solution of PDE-Constrained Optimization Problems

  • John W. Pearson
  • Jacek Gondzio
Conference paper
Part of the Lecture Notes in Computational Science and Engineering book series (LNCSE, volume 125)

Abstract

We consider the numerical solution of saddle point systems of equations resulting from the discretization of PDE-constrained optimization problems, with additional bound constraints on the state and control variables, using an interior point method. In particular, we derive a Bramble–Pasciak Conjugate Gradient method and a tailored block triangular preconditioner which may be applied within it. Crucial to the usage of the preconditioner are carefully chosen approximations of the (1, 1)-block and Schur complement of the saddle point system. To apply the inverse of the Schur complement approximation, which is computationally the most expensive part of the preconditioner, one may then utilize methods such as multigrid or domain decomposition to handle individual sub-blocks of the matrix system.

Notes

Acknowledgements

JWP gratefully acknowledges financial support from the Engineering and Physical Sciences Research Council (EPSRC) Fellowship EP/M018857/2. JG gratefully acknowledges support from the EPSRC Grant EP/N019652/1. The authors thank an anonymous referee for their helpful comments.

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.School of MathematicsThe University of EdinburghEdinburghUK

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