Block-Diagonal Preconditioning for Optimal Control Problems Constrained by PDEs with Uncertain Inputs

@article{Benner2016BlockDiagonalPF,
  title={Block-Diagonal Preconditioning for Optimal Control Problems Constrained by PDEs with Uncertain Inputs},
  author={Peter Benner and Akwum Onwunta and Martin Stoll},
  journal={SIAM J. Matrix Analysis Applications},
  year={2016},
  volume={37},
  pages={491-518}
}
The goal of this paper is the efficient numerical simulation of optimization problems governed by either steady-state or unsteady partial differential equations involving random coefficients. This class of problems often leads to prohibitively high dimensional saddle-point systems with tensor product structure, especially when discretized with the… CONTINUE READING