Extension of ADMMAlgorithmin Solving Optimal Control Model Governed by Partial Differential Equation
Keywords:
Optimal Control model, Alternating Direction Method of Multipliers, Partial Differential Equation constraint, Crank-Nicolson, Composite Simpson’s, Consistency and StabilityAbstract
This paper presents an Algorithm for the numerical solution of the Optimal Control model constrained by Partial Differential Equation using the Alternating Direction Method of Multipliers (ADMM) accelerated with a parameter factor in the sense of Nesterov. The ADMM tool was
applied to a partial differential equation-governed optimization problem of the one-dimensional heat equation type. The constraint and objective functions of the optimal control model were discretized using the Crank-Nicolson and Composite Simpson’s Methods respectively into a derived discrete convex optimization form amenable to the ADMM. The primal-dual residuals were derived to ascertain the rate of convergence of themodel for increasing iterates. An existing example was used to test the efficiency and degree of accuracy of the algorithm and the results were favorable when compared the existing method.
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