Implicit Peer Triplets in Gradient-Based Solution Algorithms for ODE Constrained Optimal Control (2303.18180v2)

Abstract: It is common practice to apply gradient-based optimization algorithms to numerically solve large-scale ODE constrained optimal control problems. Gradients of the objective function are most efficiently computed by approximate adjoint variables. High accuracy with moderate computing time can be achieved by such time integration methods that satisfy a sufficiently large number of adjoint order conditions and supply gradients with higher orders of consistency. In this paper, we upgrade our former implicit two-step Peer triplets constructed in [Algorithms, 15:310, 2022] to meet those new requirements. Since Peer methods use several stages of the same high stage order, a decisive advantage is their lack of order reduction as for semi-discretized PDE problems with boundary control. Additional order conditions for the control and certain positivity requirements now intensify the demands on the Peer triplet. We discuss the construction of $4$-stage methods with order pairs $(3,3)$ and $(4,3)$ in detail and provide three Peer triplets of practical interest. We prove convergence of order $s-1$, at least, for $s$-stage methods if state, adjoint and control satisfy the corresponding order conditions. Numerical tests show the expected order of convergence for the new Peer triplets.