论文标题
使用控制约束的ADMM实施抛物线的最佳控制问题
Implementation of the ADMM to Parabolic Optimal Control Problems with Control Constraints and Beyond
论文作者
论文摘要
从理论分析或算法设计角度来看,与控制约束的最佳控制问题通常具有挑战性。从概念上讲,众所周知的乘数交替方向方法(ADMM)可以直接应用于此类问题。该直接ADMM应用的一个有吸引力的优势是可以从抛物线PDE约束中取消控制约束。因此,这两个固有的不同约束可以在迭代中单独处理。在ADMM的每次迭代中,主要计算是为了解决无约束的抛物线最佳控制问题。由于离散后的高维度很高,因此每次迭代的无约束抛物线最佳控制问题只能通过内部实现某些数值方案而不可到于,因此需要一个两层嵌套的迭代方案。然后,找到一个易于实现且有效的不符合性标准来执行内部迭代,并严格证明对所得两层嵌套的迭代方案进行严格的整体收敛。为了有效地实现ADMM,我们提出了一个不符合性的标准,该标准独立于涉及离散化的网格大小,并且可以自动执行,而无需将经验性地感知到先前的经验感知的常量精度。事实证明,不确定的标准使我们能够将最佳的最佳控制问题求解到中等或什至低的精度上,从而大大节省了计算,但仍然可以确保总体两层嵌套的迭代方案的收敛性。该ADMM实施的效率通过初步数值结果有效验证。我们的方法也可以扩展到受其他线性PDE(例如椭圆方程和双曲线方程)约束的一系列最佳控制问题。
Parabolic optimal control problems with control constraints 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 a problem. An attractive advantage of this direct ADMM application is that the control constraint can be untied from the parabolic PDE constraint; these two inherently different constraints thus can be treated individually in iterations. At each iteration of the ADMM, the main computation is for solving an unconstrained parabolic optimal control problem. Because of its high dimensionality after discretization, the unconstrained parabolic optimal control problem at each iteration can be solved only inexactly by implementing certain numerical scheme internally and thus a two-layer nested iterative scheme is required. It then becomes important to find an easily implementable and efficient inexactness criterion to execute the internal iterations, and to prove the overall convergence rigorously for the resulting two-layer nested iterative scheme. To implement the ADMM efficiently, we propose an inexactness criterion that is independent of the mesh size of the involved discretization, and it can be executed automatically with no need to set empirically perceived constant accuracy a prior. The inexactness criterion turns out to allow us to solve the resulting unconstrained optimal control problems to medium or even low accuracy and thus saves computation significantly, yet convergence of the overall two-layer nested iterative scheme can be still guaranteed rigorously. Efficiency of this ADMM implementation is promisingly validated by preliminary numerical results. Our methodology can also be extended to a range of optimal control problems constrained by other linear PDEs such as elliptic equations and hyperbolic equations.