Yongcun Song

Year of Award


Degree Type


Degree Name

Master of Philosophy (MPhil)


Department of Mathematics.

Principal Supervisor

Kwok, Felix


Multipliers (Mathematical analysis) ; Mathematical optimization ; Finite differences ; Finite element method ; Numerical analysis




We address in this thesis the numerical solution of state constrained optimal control problems for systems modeled by linear parabolic equations. For the unconstrained or control-constrained optimal control problem, the first order optimality condition can be obtained in a general way and the associated Lagrange multiplier has low regularity, such as in the L²(Ω). However, for state-constrained optimal control problems, additional assumptions are required in general to guarantee the existence and regularity of Lagrange multipliers. The resulting optimality system leads to difficulties for both the numerical solution and the theoretical analysis. The approach discussed here combines the alternating direction of multipliers (ADMM) with a conjugate gradient (CG) algorithm, both operating in well-chosen Hilbert spaces. The ADMM approach allows the decoupling of the state constraints and the parabolic equation, in which we need solve an unconstrained parabolic optimal control problem and a projection onto the admissible set in each iteration. It has been shown that the CG method applied to the unconstrained optimal control problem modeled by linear parabolic equation is very efficient in the literature. To tackle the issue about the associated Lagrange multiplier, we prove the convergence of our proposed algorithm without assuming the existence and regularity of Lagrange multipliers. Furthermore, a worst case O(1/k) convergence rate in the ergodic sense is established. For numerical purposes, we employ the finite difference method combined with finite element method to implement the time-space discretization. After full discretization, the numerical results we obtain validate the methodology discussed in this thesis.


Principal supervisor: Dr. Felix Kwok ; Thesis submitted to the Department of Mathematics ; Thesis (M.Phil.)--Hong Kong Baptist University, 2018.


Includes bibliographical references (pages 51-55).

Available for download on Friday, November 06, 2020