Preconditioning PDE-constrained optimization with \rm L^{1}-sparsity and control constraints

Preconditioning PDE-constrained optimization with -sparsity and control constraints

Margherita Porcelli111Università degli Studi di Firenze, Dipartimento di Ingegneria Industriale, Viale Morgagni, 40/44, 50134 Firenze, Italy (    Valeria Simoncini222Università di Bologna, Dipartimento di Matematica, Piazza di Porta S.Donato 5 40127 Bologna, Italy (    Martin Stoll333Numerical Linear Algebra for Dynamical Systems, Max Planck Institute for Dynamics of Complex Technical Systems, Sandtorstr. 1, 39106 Magdeburg, Germany, (

PDE-constrained optimization aims at finding optimal setups for partial differential equations so that relevant quantities are minimized. Including sparsity promoting terms in the formulation of such problems results in more practically relevant computed controls but adds more challenges to the numerical solution of these problems. The needed -terms as well as additional inclusion of box control constraints require the use of semismooth Newton methods. We propose robust preconditioners for different formulations of the Newton’s equation. With the inclusion of a line-search strategy and an inexact approach for the solution of the linear systems, the resulting semismooth Newton’s method is feasible for practical problems. Our results are underpinned by a theoretical analysis of the preconditioned matrix. Numerical experiments illustrate the robustness of the proposed scheme.


65F10, 65N22, 65K05, 65F50

DE-constrained optimization, Saddle point systems, Preconditioning, Krylov subspace solver, Sparsity, Semismooth Newton’s method

1 Introduction

Optimization is a crucial tool across the sciences, engineering, and life sciences and is thus requiring robust mathematical tools in terms of software and algorithms [23]. Additionally, over the last decade the need for sparse solutions has become apparent and the field of compressed sensing [8, 7] is a success story where mathematical tools have conquered all fields from image processing [22] to neuroscience [11].

One of the typical areas where optimization and sparsity promoting formulations are key ingredients is the optimization of functions subject to partial differential equation (PDE) constraints. In this field one seeks an optimal control such that the state of the system satisfies certain criteria, e.g. being close to a desired or observed quantity, while the control and state are connected via the underlying physics of the problem. This so-called state equation is typically a PDE of a certain type. While this is not a new problem [19, 37] the penalization of the control cost via an -norm requires different methodology from the classical -control term. Nonsmooth Newton methods [19, 17, 18, 38] have become the state-of-the-art when dealing with nonsmooth terms in PDE-constrained optimization problems as they still exhibit local superlinear convergence. In the case of a sparsity promoting -term within PDE-constrained optimization Stadler [34] considered the applicability and convergence of the nonsmooth Newton’s method. Herzog and co-authors have since followed up on this with more sophisticated sparsity structures [16, 14] such as directional and annular sparsity.

The core of a Newton’s scheme for a PDE constrained problem is to find a new search direction by solving a large-scale linear system in structured form, the so-called Newton’s equation. For the case of problems with a sparsity promoting term, the solution of this linear algebra phase has not yet received very much attention. In [15] Herzog and Sachs consider preconditioning for optimal control problems with box control constraints and point out that including sparsity constraints yields similar structure in the linear systems.

The aim of this work is threefold. We discuss a reduced formulation of the Newton’s equation whose size does not depend on the active components, that is components which are zero or are on the boundary of the box constraints. We theoretically and experimentally analyze two classes of preconditioners with particular emphasis on their robustness with respect to the discretized problem parameters. Finally we show how line-search and inexactness in the nonlinear iterations can be exploited to make the Newton’s method reliable and efficient.

The remainder of the paper is structured as follows. We state the main model problem based on the Poisson problem in Section 2 and discuss its properties. Section 3 introduces the semismooth Newton’s method that allows the efficient solution of the nonsmooth optimization problem. This scheme is based on the use of active sets representing the sparsity terms and the box control constraints and are reflected in the matrix representation of the generalized Jacobian matrix. We also introduce the convection-diffusion problem as a potential state equation; this results in a nonsymmetric matrix representing the discretized PDE operator. We then discuss two formulations of the saddle point system associated with the Newton step. One of them is a full-sized system of structure while the other one is in reduced form. In Section 4 the construction of efficient preconditioners is discussed and provide a thorough analysis of the preconditioners proposed for both the full and the reduced system. The bounds illustrate that the Schur-complement approximations are robust with respect to varying essential system parameters. Numerical experiments given in Section 5 illustrate the performance of the proposed iterative schemes.


The matrix is a diagonal (0,1) matrix with nonzero entries in the set of indices and is a rectangular matrix consisting of those rows of that belong to the indices in (. Finally, given a sequence of vectors , for any function , we let .

2 Model problems

The typical model problem in PDE-constrained optimization is usually stated as

where is the state and the control. The term is the so-called desired state. The state and are then linked via a state equation such as the Poisson equation. The computed controls for this problem typically are ‘potato shaped’ and distributed in space and time. This is an unwanted feature in many applications and one commonly considers the model where we seek such that the function


is minimized subject to the constraints


with additional box-constraints on the control


with , with a.e. and . The Laplace operator in (2) could be replaced by other elliptic operators. For the case this PDE-constrained optimization problem has been studied in great detail (see [37, 19] and the reference mentioned therein). For these problems one typically writes down the first order conditions, which are then discretized, and the associated equation solved. As an alternative, one discretizes the optimization problem first and then obtain the first order conditions; the associated nonlinear system are then solved using many well-studied algorithms.

The case is much harder as the addition of the nonsmooth sparsity term makes the solution of the PDE-constrained optimization problem introduced above very different to the more standard smooth optimization problems. The use of semismooth Newton schemes [4, 17, 38] has proven to give an efficient algorithm as well as to allow for a thorough analysis of the convergence behaviour. In this paper we will not discuss the conditions needed to guarantee the differentiability of the involved operators but mostly refer to the corresponding literature. Here we state the following result identifying the optimality conditions of problem (1)-(4).

Theorem 2.1

(see [34, Theorem 2.3]) The solution of the problem (1)-(4) is characterized by the existence of such that


with .

We now consider the operator representing the nonlinear function in (5), defined by


Alternatively, one could use the gradient equation to eliminate the Lagrange multiplier via and further use obtaining the complementarity equation in the variables

see [17, 34].

In this work we investigate the solution of the optimality system (5): we first discretize the problem using finite elements (see [18] for a more detailed discussion) and then solve the corresponding nonlinear system in the finite dimensional space using a semismooth Newton’s method [17, 38].

3 The semismooth Newton’s method for the optimality system

Let denote the dimension of the discretized space. Let the matrix represent a discretization of the Laplacian operator (the stiffness matrix) or, more generally, be the discretization of a non-selfadjoint elliptic differential operator. Let the matrix be the FEM Gram matrix, i.e., the so-called mass matrix and let the matrix represent the discretization of the control term within the PDE-constraint. While for the Poisson control problem this is simply the mass matrix, i.e. , for boundary control problems or different PDE constraints (see Section 3.1) the matrix does not necessarily coincide with . Finally, let be the discrete counterparts of the functions , respectively.

The optimality system (5) can be represented in the discretized space using the nonlinear function defined as


where and the discretized complementarity function is component-wise defined by

for .

Due to the presence of the min/max functions in the complementarity function , function is semismooth [18, 38]. The natural extension of the classical Newton’s method is


where is the generalized Jacobian of at [38]. Under suitable standard assumptions, the generalized Jacobian based Newton’s method (8) converges superlinearly [38]. We employ an extension of the above method proposed in [21] and reported in Algorithm 1 that takes into account both the inexact solution of the Newton’s equation and the use of a globalization strategy based on the merit function

At Lines 3-4 the Newton’s equation is solved with an accuracy controlled by the forcing term ; Lines 6-8 consist in a line-search where the sufficient decrease is measured with respect to the (nonsmooth) merit function .

Under certain conditions on the sequence in (10), the method retains the superlinear local convergence of (8) and gains the convergence to a solution of the nonlinear system starting from any [21].

1:Starting and , parameters , , .
2:while  do
3:     Choose .
4:     Solve
5:     with
6:     ;
7:     while  do
8:         .
9:     end while
10:     , .
11:end while
Algorithm 1 Global Inexact Semismooth Newton’s method [21]

The form of can be easily derived using an active-set approach as follows. Let us define the following sets


Note that the above five sets are disjoint and if

is the set of active constraints then its complementary set of inactive constraints is

With these definitions at hand, the complementarity function can be expressed in compact form as


It follows from the complementarity conditions that

  • for ;

  • for and for ;

  • for and for .

From (14), the (generalized) derivative of follows, that is

together with the corresponding Jacobian matrix of ,

We note that depends on the variable through the definition of the sets and .

3.1 Other PDE constraints

It is clear that the above discussion is not limited to the Poisson problem in (2) but can also be extended to different models. We consider the convection-diffusion equation


as constraint to the objective function (1). The parameter is crucial to the convection-diffusion equation as a decrease in its value makes the equation more convection dominated. The wind is predefined. Such optimization problems have been recently analyzed in [29, 13, 26, 1] and we refer to these references for the possible pitfalls regarding the discretization. We focus on a discretize-then-optimize scheme using a streamline upwind Petrov-Galerkin (SUPG) approach introduced in [6]. Note that other schemes such as discontinuous Galerkin methods [36] or local projection stabilization [26] may be more suitable discretizations for the optimal control setup as they often provide the commutation between optimize first or discretize first for the first order conditions. Nevertheless, our approach will also work for these discretizations. We employ linear finite elements with an SUPG stabilization that accounts for the convective term. The discretization of the PDE-constraint is now different as we obtain


with the SUPG discretization of the differential operator in (15) (see [10, 26] for more details). The matrix now includes an extra term that takes into account the SUPG correction. Entry-wise this matrix is given as

where are the finite element test functions and is a parameter coming from the use of SUPG [6, 10]. The resulting matrices are both unsymmetric and hence forward problems require the use of nonsymmetric iterative solvers. While the optimality system still remains symmetric the nonsymmetric operators have to be approximated as part of the Schur-complement approximation and require more attention than the simpler Laplacian.

3.2 Solving the Newton’s equation “exactly”

Let us assume to solve the Newton’s equation (9) “exactly”, that is to use in (10) in Algorithm 1.

Given the current iterate and the current active and inactive sets and , a step of the semismooth Newton’s method applied to the system with in (7) has the form


We note that the system (19) is nonsymmetric, which would require the use of nonsymmetric iterative solvers. The problem can be symmetrized, so that better understood and cheaper symmetric iterative methods than nonsymmetric ones may be used for its solution. More precisely, the system in (19) can be symmetrized by eliminating from the last row and obtaining





The dimension of the system (20) is and therefore depends on the size of the active set. Since we expect to be large if the optimal control is very sparse, that is when is large, we now derive a symmetric reduced system whose dimension is independent of the active-set strategy and that shares the same properties of the system above.

First, we reduce the variable



that is still a symmetric saddle-point system. Then, since is nonsingular, we can reduce further and get


together with


and in (22). We note that the dimension of system (23) is now and that the computation of and only involves the inversion of the diagonal matrix . Moreover, the (2,2) matrix term does not need not be formed explicitly.

Finally, we remark that if the initial approximation is “feasible”, that is it solves the linear equations , then the residuals remain zero for all and therefore the expressions (19)-(24) simplify.

In the following sections, we refer to (20) and (23) as the augmented and reduced system, respectively and denote the corresponding systems as


3.3 Solving the Newton’s equation “inexactly”

We derive suitable inexact conditions on the residual norm of the systems (20) and (23) in order to recover the local convergence properties of Algorithm 1 and, at the same time, exploit the symmetry of the linear systems.

Let us partition the residual of the linear system (19) as and assume that . This simplification allows the substitution (21).

Let . Then, the steps (9) and (10) of Algorithm 1 correspond to solve the augmented system (20) as follows


Moreover, let be the residual in the reduced system (23). We next show that , so that we can solve the reduced Newton’s equation inexactly by imposing the variable accuracy explicitly on the reduced residual, instead of imposing it on the original residual. More precisely, we find with residual such that


After that, we can recover and from (22) and (24), respectively.

The norm equality result is very general, as it holds for any reduced system. We thus introduce a more general notation. Let us consider the block linear system


with nonsingular. The Schur complement system associated with the first block is given by , with . The following result holds.


Let be the residual obtained by approximately solving the reduced (Schur complement) system , with . Then the residual satisfies . {proof} We write

Solving by reduction of the second block corresponds to using the factorization above as follows. Setting we have

Hence, and . Let be an approximation to , so that for some residual vector . Let be defined consequently, so that . Substituting, we obtain

from which the result follows.

This result can be applied to our 22 reduced system after row and column permutation of the original 44 system, so that the variables used in the reduced system appear first.

4 Iterative solution and preconditioning

We now discuss the solution of the linear systems (20) and (23) presented earlier. For the ease of the presentation, we omit in this section the subscript .

While direct solvers impress with performance for two-dimensional problems and moderate sized three-dimensional one they often run out of steam when dealing with more structured or general three-dimensional problems. In this case one resorts to iterative solvers, typically Krylov subspace solvers that approximate the solution in a Krylov subspace

where is the initial residual. The matrix is the preconditioner that approximates in some sense, and it is cheap to apply [30, 10, 3]. In the context of PDE problems is often derived from the representation of the inner products of the underlying function spaces [20, 12, 32]. The construction of appropriate preconditioners follows the strategy to approximate the leading block of the saddle point system and correspondingly the Schur complement of this matrix. As iterative solvers is concerned, the indefiniteness of the symmetric system calls for the use of a short-term algorithm such as minres [24]. To maintain its properties, the accompanying preconditioner should be symmetric and positive definite. In case when the system matrix is nonsymmetric or the preconditioner is indefinite, many competing methods that are either based on the Arnoldi process or the nonsymmetric Lanczos method can be applied [30]. As a rule of thumb, once a good preconditioner is constructed the choice of the nonsymmetric solver becomes less important. We now discuss the construction of preconditioners in more detail.

We consider preconditioning techniques based on the active-set Schur complement approximations proposed in [28] and tailor this idea to the combination of sparsity terms and box control constraint case. Our strategy here uses a matching technique [25] that allows the parameter-robust approximation of the Schur-complement while still being practically useful. This technique was already used for state-constraints [35] not including sparsity terms and has previously shown to be successful for active set methods [28].

Taking the submatrix as the block, the active-set Schur complement of the matrix in (20) in its factorized form is defined as



The matrix , and thus , explicitly depends on the current Newton’s iteration through the change in the active and inactive sets.

We consider the following factorized approximation of :


which extends the approximation proposed in [28] to the case . The approximation yields the factorized active-set Schur complement approximation


The following results are along the lines of the analysis conducted in [28] considering and nonsymmetric. As in [28], we assume that is diagonal so that commutes with both and ; for alternatives we refer the reader to the discussion in [28, Remark 4.1]. {proposition} Let and be as defined above. Then

Proof. The result follows from

If , that is all indices are active, then the two matrices coincide. In general,

and the right-hand side matrix is of low rank, with a rank that is at most twice the number of inactive indices. In other words, has at least a number of unit eigenvalues corresponding to half the number of active indeces.

In the unconstrained case ( and no bound constraints) and for , the approximation in (29) corresponds to the approximation proposed in [25, 26].

We now derive general estimates for the inclusion interval for the eigenvalues of the pencil , whose extremes depend on the spectral properties of the nonsymmetric matrices and and of . {proposition} Let be an eigenvalue of . Then it holds


Moreover, if , then for , is bounded by a constant independent of . {proof} Let and . Then we have


We first provide the lower bound . Let . For we can write

where and . Then if and only if

which holds since .

We now prove the upper bound. From we obtain for


Recalling the definition of we have

Therefore, from (31) it follows


Recalling that

we have

To analyze the behavior for , let us suppose that . Without loss of generality assume that . Let , so that . Thanks to the hypothesis on , the matrix is also positive definite, that is its eigenvalues all have positive real part. Let be the eigendecomposition 111In the unlikely case of a Jordan decomposition, the proof proceeds with the maximum over norms of Jordan blocks inverses, which leads to the same final result. of . Then

We thus have

so that with for . \endproof

In practice, the matrix is replaced by an approximation whose inverse is cheaper to apply. This is commonly performed by using a spectrally equivalent matrix , so that there exist two positive constants independent of the mesh parameter such that . For this choice, we thus obtain the following spectral bounds for ,

Based on and defined in (29) and (30), respectively, we introduce convenient preconditioners for the linear systems (20) and (23). For the augmented linear system in (20) we consider a block diagonal preconditioner and indefinite preconditioner of the form:





For the reduced system in (20) we consider




In the following we analyze the spectral properties of the preconditioned coefficient matrices when the above preconditioners are applied.

We recall a result from [27]. {proposition}[27, Prop.1] Assume the matrix is given, with tall, symmetric positive definite and symmetric positive semidefinite. Let ,