A primal-dual active set algorithm for bilaterally control constrained optimal control problems

Author:
Michael Hintermüller

Journal:
Quart. Appl. Math. **61** (2003), 131-160

MSC:
Primary 49M37; Secondary 49J20, 49M29

DOI:
https://doi.org/10.1090/qam/1955227

MathSciNet review:
MR1955227

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Abstract | References | Similar Articles | Additional Information

Abstract: A generalized Moreau-Yosida based primal-dual active set algorithm for the solution of a representative class of bilaterally control constrained optimal control problems with boundary control is developed. The use of the generalized Moreau-Yosida approximation allows an efficient identification of the active and inactive sets at each iteration level. The method requires no step-size strategy and exhibits a finite termination property for the discretized problem class. In infinite as well as in finite dimensions a convergence analysis based on an augmented Lagrangian merit function is given. In a series of numerical tests the efficiency of the new algorithm is emphasized.

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DOI:
https://doi.org/10.1090/qam/1955227

Article copyright:
© Copyright 2003
American Mathematical Society