Block diagonal parareal preconditioner for parabolic optimal control problems

Abstract

We describe a block matrix iterative algorithm for solving a linearquadratic parabolic optimal control problem (OCP) on a finite time interval. We derive a reduced symmetric indefinite linear system involving the control variables and auxiliary variables, and solve it using a preconditioned MINRES iteration, with a symmetric positive definite block diagonal preconditioner based on the parareal algorithm. Theoretical and numerical results show that the preconditioned algorithm converges at a rate independent of the mesh size h, and has parallel scalability.