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Optimal multigrid preconditioned semi‐monotonic augmented Lagrangians applied to the Stokes problem
Author(s) -
Lukáš D.,
Dostál Z.
Publication year - 2007
Publication title -
numerical linear algebra with applications
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.02
H-Index - 53
eISSN - 1099-1506
pISSN - 1070-5325
DOI - 10.1002/nla.552
Subject(s) - hessian matrix , mathematics , monotonic function , multigrid method , mathematical optimization , augmented lagrangian method , lagrange multiplier , optimal control , penalty method , sequential quadratic programming , partial differential equation , quadratic programming , mathematical analysis
We propose an optimal computational complexity algorithm for the solution of quadratic programming problems with equality constraints arising from partial differential equations. The algorithm combines a variant of the semi‐monotonic augmented Lagrangian (SMALE) method with adaptive precision control and a multigrid preconditioning for the Hessian of the cost function and for the inner product on the space of Lagrange variables. The update rule for penalty parameter acts as preconditioning of constraints. The optimality of the algorithm is theoretically proven and confirmed by numerical experiments for the two‐dimensional Stokes problem. Copyright © 2007 John Wiley & Sons, Ltd.