A low-rank in time approach to PDE-constrained optimization / Martin Stoll, Tobias Breiten

Abstract

Abstract: The solution of time-dependent PDE-constrained optimization problems is a challenging task in numerical analysis and applied mathematics. All-at-once discretizations and corresponding solvers provide efficient methods to robustly solve the arising discretized equations. One of the drawbacks of this approach is the high storage demand for the vectors representing the discrete space-time cylinder. We here introduce a low-rank in time technique that exploits the low-rank nature of the solution. The theoretical foundations for this approach originate in the numerical treatment of matrix equations and can be carried over to PDE-constrained optimization. We illustrate how three different problems can be rewritten and used within a low-rank Krylov subspace solver with appropriate preconditioning.