Schur complement preconditioners for multiple saddle point problems of block tridiagonal form with application to optimization problems

The importance of Schur-complement-based preconditioners is well established for classical saddle point problems in $\mathbb{R}^N \times \mathbb{R}^M$. In this paper we extend these results to multiple saddle point problems in Hilbert spaces $X_1\times X_2 \times \cdots \times X_n$. For such problems with a block tridiagonal Hessian and a well-defined sequence of associated Schur complements, sharp bounds for the condition number of the problem are derived, which do not depend on the involved operators. These bounds can be expressed in terms of the roots of the difference of two Chebyshev polynomials of the second kind. If applied to specific classes of optimal control problems the abstract analysis leads to new existence results as well as to the construction of efficient preconditioners for the associated discretized optimality systems.

SPECTRAL PROPERTIES OF OPERATORS USING TRIDIAGONALIZATION

A general scheme for tridiagonalizing differential, difference or q-difference operators using orthogonal polynomials is described. From the tridiagonal form the spectral decomposition can be described in terms of the orthogonality measure of generally different orthogonal polynomials. Three examples are worked out: (1) related to Jacobi and Wilson polynomials for a second order differential operator, (2) related to little q-Jacobi polynomials and Askey–Wilson polynomials for a bounded second order q-difference operator, (3) related to little q-Jacobi polynomials for an unbounded second order q-difference operator. In case (1) a link with the Jacobi function transform is established, for which we give a q-analogue using example (2).