An Overlapping Waveform Relaxation Preconditioner for Economic Optimal Control Problems With State Constraints

As shown in [8], the semismooth Newton method lacks of convergence if the parameter 𝜀 is not sufficiently large. This is, however, in contrast with typical applications, where a sufficiently small 𝜀 is required [6, 8]. The goal of this paper is to tackle this problem by using a nonlinear preconditioning technique based on an overlapping optimized waveform-relaxation method (WRM) characterized by Robin transmission conditions [2, 3].