A multi-level ADMM algorithm for elliptic PDE-constrained optimization problems

Abstract

In this paper, elliptic PDE-constrained optimization problems with box constraints on the control are considered. To numerically solve the problems, we apply the ‘optimize-discretize-optimize’ strategy. Specifically, the alternating direction method of multipliers (ADMM) algorithm is applied in function space first, and then, the standard piecewise linear finite-element approach is employed to discretize the subproblems in each iteration. Finally, some efficient numerical methods are applied to solve the discretized subproblems based on their structures. Motivated by the idea of the multi-level strategy, instead of fixing the mesh size before the computation process, we propose the strategy of gradually refining the grid. Moreover, the subproblems in each iteration are solved by appropriate inexact methods. Based on the strategies above, an efficient convergent multi-level ADMM (mADMM) algorithm is proposed. We present the convergence analysis and the iteration complexity results o(1/k) for the mADMM algorithm. Some numerical experiments are done and the numerical results show the high efficiency of the mADMM algorithm.