@Article{AAM-38-2,
author = {Roland, Glowinski and Yongcun, Song and Yuan, Xiaoming and Yue, Hangrui},
title = {Application of the Alternating Direction Method of Multipliers to Control Constrained Parabolic Optimal Control Problems and Beyond},
journal = {Annals of Applied Mathematics},
year = {2022},
volume = {38},
number = {2},
pages = {115--158},
abstract = {<p style="text-align: justify;">Control constrained parabolic optimal control problems are generally challenging, from either theoretical analysis or algorithmic design perspectives. Conceptually, the well-known alternating direction method of multipliers
(ADMM) can be directly applied to such problems. An attractive advantage
of this direct ADMM application is that the control constraints can be untied
from the parabolic optimal control problem and thus can be treated individually in the iterations. At each iteration of the ADMM, the main computation is
for solving an unconstrained parabolic optimal control subproblem. Because of
its inevitably high dimensionality after space-time discretization, the parabolic
optimal control subproblem at each iteration can be solved only inexactly by&nbsp;implementing certain numerical scheme internally and thus a two-layer nested
iterative algorithm is required. It then becomes important to find an easily
implementable and efficient inexactness criterion to perform the internal iterations, and to prove the overall convergence rigorously for the resulting two-layer
nested iterative algorithm. To implement the ADMM efficiently, we propose
an inexactness criterion that is independent of the mesh size of the involved
discretization, and that can be performed automatically with no need to set empirically perceived constant accuracy a priori. The inexactness criterion turns
out to allow us to solve the resulting parabolic optimal control subproblems
to medium or even low accuracy and thus save computation significantly, yet
convergence of the overall two-layer nested iterative algorithm can be still guaranteed rigorously. Efficiency of this ADMM implementation is promisingly validated by some numerical results. Our methodology can also be extended to a
range of optimal control problems modeled by other linear PDEs such as elliptic
equations, hyperbolic equations, convection-diffusion equations, and fractional
parabolic equations.</p>},
issn = {},
doi = {https://doi.org/10.4208/aam.OA-2022-0004},
url = {https://global-sci.com/article/72629/application-of-the-alternating-direction-method-of-multipliers-to-control-constrained-parabolic-optimal-control-problems-and-beyond}
}