We address the problem of preconditioning saddle point linear systems arising in the solution of PDE-constrained optimal control problems via active-set Newton methods, with control and (regularized) state constraints. We present two preconditioners based on a full block matrix factorization of the Schur complement of the Jacobians matrices where the active-set blocks are merged into the constraint blocks. The robustness of the new preconditioners is discussed and exhaustive numerical experiments are presented.
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