A Preconditioned Semismooth Newton Method for Box-Constrained Elliptic Optimal Control Problems with Random Coefficients
Abstract
We consider the optimal control problem of an elliptic PDE with random diffusion under pointwise box constraints on the control. The constraints make the optimality conditions nonsmooth, with an active set that is not known in advance, and the random diffusion couples the state and the adjoint across all stochastic modes. To design a solution algorithm for this problem, we rely on the Fenchel duality viewpoint. Fenchel duality absorbs the box constraint into the objective and yields an exact reduced problem in the elliptic adjoint variable alone. After a stochastic Galerkin--finite element discretization, eliminating the state leaves a strongly monotone, piecewise smooth equation, which we solve directly by a matrix-free semismooth Newton method with the box projection retained exactly and with no outer iteration, penalty or smoothing parameter. Next, we introduce and analyze a current-set preconditioner, which adds the active-set correction of the current Newton step to a mean-diffusion reference operator and is inverted exactly by a rank-1 update. For implementation, we use a cheaper preconditioner that keeps only a fraction of free control values. Numerical experiments show second-order convergence of the state, and Newton and PCG counts that stay bounded under mesh refinement and growth of the stochastic dimension.
Related
- Robust preconditioners for finite element approximations of control-state constrained optimal control problems governed by elliptic equations
- Preconditioned Three-Term Conjugate Gradient Framework for Nonconvex Finite Minimax Problems
- Preconditioned Hyperbolic Smoothing Modified L-BFGS Algorithms for Finite Minimax Problems
- Preconditioned Latent Variable Proximal Point Method for Optimal Control Problems with Control Constraints
- The L1-realization of an elliptic operator with unbounded coefficients
BibTeX
@misc{li2026preconditioned,
title = {{A Preconditioned Semismooth Newton Method for Box-Constrained Elliptic Optimal Control Problems with Random Coefficients}},
author = {Zhendong Li and Akwum Onwunta and Hailing Wang},
howpublished = {arXiv},
year = {2026},
month = nov,
doi = {10.48550/arxiv.2611.00246},
eprint = {2611.00246},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2611.00246},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - A Preconditioned Semismooth Newton Method for Box-Constrained Elliptic Optimal Control Problems with Random Coefficients
AU - Zhendong Li
AU - Akwum Onwunta
AU - Hailing Wang
PY - 2026
DA - 2026/11/01
PB - arXiv
DO - 10.48550/arxiv.2611.00246
UR - https://arxiv.org/abs/2611.00246
AB - We consider the optimal control problem of an elliptic PDE with random diffusion under pointwise box constraints on the control. The constraints make the optimality conditions nonsmooth, with an active set that is not known in advance, and the random diffusion couples the state and the adjoint across all stochastic modes. To design a solution algorithm for this problem, we rely on the Fenchel duality viewpoint. Fenchel duality absorbs the box constraint into the objective and yields an exact reduced problem in the elliptic adjoint variable alone. After a stochastic Galerkin--finite element discretization, eliminating the state leaves a strongly monotone, piecewise smooth equation, which we solve directly by a matrix-free semismooth Newton method with the box projection retained exactly and with no outer iteration, penalty or smoothing parameter. Next, we introduce and analyze a current-set preconditioner, which adds the active-set correction of the current Newton step to a mean-diffusion reference operator and is inverted exactly by a rank-1 update. For implementation, we use a cheaper preconditioner that keeps only a fraction of free control values. Numerical experiments show second-order convergence of the state, and Newton and PCG counts that stay bounded under mesh refinement and growth of the stochastic dimension.
ER -