Nested multigrid methods for time-periodic, parabolic optimal control problems

We present a nested multigrid method to optimize time-periodic, parabolic, partial differential equations (PDE). We consider a quadratic tracking objective with a linear parabolic PDE constraint. The first order optimality conditions, given by a coupled system of boundary value problems can be rewritten as an Fredholm integral equation of the second kind, which is solved by a multigrid of the second kind. The evaluation of the integral operator consists of solving sequentially a boundary value problem for respectively the state and the adjoints. Both problems are solved efficiently by a time-periodic space-time multigrid method.