An overlapping waveform-relaxation preconditioner for economic optimal control problems with state constraints

Abstract

In this work, a class of parabolic economic optimal control problems is considered. These problems are characterized by pointwise state constraints regularized by a parameter, which transforms the pure state constraints in mixed control-state ones. However, the convergence of classical (semismooth) Newton methods deteriorates for decreasing values of the regularization parameter. To tackle this problem, a nonlinear preconditioner is introduced. This is based on an overlapping optimized waveform-relaxation method characterized by Robin transmission conditions. Numerical experiments show that appropriate choices of the overlap and of the Robin parameter lead to a preconditioned Newton method with a robust convergence against the state constraints regularization parameter.