A Multilevel Heterogeneous ADMM Algorithm for Elliptic Optimal Control Problems with L1-Control Cost

Abstract

In this paper, elliptic optimal control problems with L1-control cost and box constraints on the control are considered. To numerically solve the optimal control problems, we use the First optimize, then discretize approach. We focus on the inexact alternating direction method of multipliers (iADMM) and employ the standard piecewise linear finite element approach to discretize the subproblems in each iteration. However, in general, solving the subproblems is expensive, especially when the discretization is at a fine level. Motivated by the efficiency of the multigrid method for solving large-scale problems, we combine the multigrid strategy with the iADMM algorithm. Instead of fixing the mesh size before the computation process, we propose the strategy of gradually refining the grid. Moreover, to overcome the difficulty whereby the L1-norm does not have a decoupled form, we apply nodal quadrature formulas to approximately discretize the L1-norm and L2-norm. Based on these strategies, an efficient multilevel heterogeneous ADMM (mhADMM) algorithm is proposed. The total error of the mhADMM consists of two parts: the discretization error resulting from the finite-element discretization and the iteration error resulting from solving the discretized subproblems. Both errors can be regarded as the error of inexactly solving infinite-dimensional subproblems. Thus, the mhADMM can be regarded as the iADMM in function space. Furthermore, theoretical results on the global convergence, as well as the iteration complexity results o(1/k) for the mhADMM, are given. Numerical results show the efficiency of the mhADMM algorithm.