Parabolic optimal control problems with combinatorial switching constraints, part III: branch-and-bound algorithm

Abstract We present a branch-and-bound algorithm for globally solving parabolic optimal control problems with binary switches that have bounded variation and possibly need to satisfy further combinatorial constraints. More precisely, for a given tolerance ε>0, we show how to compute in finite time an ε-optimal solution in function space, independently of any prior discretization. The main ingredients in our approach are an appropriate branching strategy in infinite dimension, an a posteriori error estimation in order to obtain safe dual bounds, and an adaptive refinement strategy in order to allow arbitrary switching points in the limit. The performance of our approach is demonstrated by extensive experimental results.