The Mathematical Institute, University of Oxford, Eprints Archive

A New Approximation of the Schur Complement in Preconditioners for PDE Constrained Optimization

Pearson, John W. and Wathen, A. J. (2010) A New Approximation of the Schur Complement in Preconditioners for PDE Constrained Optimization. Technical Report. Wiley. (Submitted)

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Abstract

Saddle point systems arise widely in optimization problems with constraints. The utility of Schur complement approximation is now broadly appreciated in the context of solving such saddle point systems by iteration. In this short manuscript, we present a new Schur complement approximation for PDE constrained optimization, an important class of these problems. Block diagonal and block triangular preconditioners have previously been designed to be used to solve such problems along with MINRES and non-standard Conjugate Gradients respectively; with appropriate approximation blocks these can be optimal in the sense that the time required for solution scales linearly with the problem size, however small the mesh size we use. In this paper, we extend this work to designing such preconditioners for which this optimality property holds independently of both the mesh size and of the Tikhonov regularization parameter \beta that is used. This also leads to an effective symmetric indefinite preconditioner that exhibits mesh and \beta-independence. We motivate the choice of these preconditioners based on observations about approximating the Schur complement obtained from the matrix system, derive eigenvalue bounds which verify the effectiveness of the approximation, and present numerical results which show that these new preconditioners work well in practice.

Item Type:Technical Report (Technical Report)
Subjects:O - Z > Partial differential equations
H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:1021
Deposited By:Lotti Ekert
Deposited On:24 Nov 2010 08:14
Last Modified:08 Oct 2012 14:30

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