In this work we consider the optimal control problem of a semilinear elliptic PDE with a Dirichlet boundary condition, where the control variable is distributed over the domain and is constrained to be nonnegative. The approach is to consider an associated parametrized family of penalized problems, whose solutions define a central path converging to the … Read more
In this paper, we consider the optimal design of photonic crystal band structures for two-dimensional square lattices. The mathematical formulation of the band gap optimization problem leads to an infinite-dimensional Hermitian eigenvalue optimization problem parametrized by the dielectric material and the wave vector. To make the problem tractable, the original eigenvalue problem is discretized using … Read more
We discuss two optimal control problems of parabolic equations, with mixed state and control constraints, for which the standard qualification condition does not hold. Our first example is a bottleneck problem, and the second one is an optimal investment problem where a utility type function is to be minimized. By an adapted penalization technique, we … Read more
We present a line-search algorithm for large-scale continuous optimization. The algorithm is matrix-free in that it does not require the factorization of derivative matrices. Instead, it uses iterative linear system solvers. Inexact step computations are supported in order to save computational expense during each iteration. The algorithm is an interior-point approach derived from an inexact … Read more
Widespread application of dynamic optimization with fast optimization solvers leads to increased consideration of first-principles models for nonlinear model predictive control (NMPC). However, significant barriers to this optimization-based control strategy are feedback delays and consequent loss of performance and stability due to on-line computation. To overcome these barriers, recently proposed NMPC controllers based on nonlinear … Read more
We consider Hessian approximation schemes for large-scale multilevel unconstrained optimization problems, which typically present a sparsity and partial separability structure. This allows iterative quasi-Newton methods to solve them despite of their size. Structured finite-difference methods and updating schemes based on the secant equation are presented and compared numerically inside the multilevel trust-region algorithm proposed by … Read more
The integration to steady state of many initial value ODEs and PDEs using the forward Euler method can alternatively be considered as gradient descent for an associated minimization problem. Greedy algorithms such as steepest descent for determining the step size are as slow to reach steady state as is forward Euler integration with the best … Read more
We consider an implementation of the recursive multilevel trust-region algorithm proposed by Gratton, Mouffe, Toint, Weber (2008) for bound-constrained nonlinear problems, and provide numerical experience on multilevel test problems. A suitable choice of the algorithm’s parameters is identified on these problems, yielding a satisfactory compromise between reliability and efficiency. The resulting default algorithm is then … Read more
New approximate secant equations are shown to result from the knowledge of (problem dependent) invariant subspace information, which in turn suggests improvements in quasi-Newton methods for unconstrained minimization. It is also shown that this type of information may often be extracted from the multigrid structure of discretized infinite dimensional problems. A new limited-memory BFGS using … Read more
We present a multilevel numerical algorithm for the exact solution of the Euclidean trust-region subproblem. This particular subproblem typically arises when optimizing a nonlinear (possibly non-convex) objective function whose variables are discretized continuous functions, in which case the different levels of discretization provide a natural multilevel context. The trust-region problem is considered at the highest … Read more