Technical Report 2021-003

On the Numerical Solution of State- and Control-Constrained Optimal Control Problems

Ivo Dravins and Maya Neytcheva

April 2021

We consider the iterative solution of algebraic systems, arising in optimal control problems, constrained by a partial differential equation, with additional box constraints on the state and the control variables, and sparsity imposed on the control. A nonsymmetric two-by-two block preconditioner is analysed and tested for a wide range of problem, regularization and discretization parameters. The constraint equation characterizes convection-diffusion processes.

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