Robust Iterative Solution of a Class of Time-Dependent Optimal Control Problems

The fast iterative solution of optimal control problems, and in particular PDE-constrained optimization problems, has become an active area of research in applied mathematics and numerical analysis. In this paper, we consider the solution of a class of time-dependent PDE-constrained optimization problems, specifically the distributed control of the heat equation. We develop a strategy to approximate the (1,1)-block and Schur complement of the saddle point system that results from solving this problem, and therefore derive a block diagonal preconditioner to be used within the MINRES algorithm. We present numerical results to demonstrate that this approach yields a robust solver with respect to step-size and regularization parameter