318 research outputs found
Conic Optimization Theory: Convexification Techniques and Numerical Algorithms
Optimization is at the core of control theory and appears in several areas of
this field, such as optimal control, distributed control, system
identification, robust control, state estimation, model predictive control and
dynamic programming. The recent advances in various topics of modern
optimization have also been revamping the area of machine learning. Motivated
by the crucial role of optimization theory in the design, analysis, control and
operation of real-world systems, this tutorial paper offers a detailed overview
of some major advances in this area, namely conic optimization and its emerging
applications. First, we discuss the importance of conic optimization in
different areas. Then, we explain seminal results on the design of hierarchies
of convex relaxations for a wide range of nonconvex problems. Finally, we study
different numerical algorithms for large-scale conic optimization problems.Comment: 18 page
Decomposition in conic optimization with partially separable structure
Decomposition techniques for linear programming are difficult to extend to
conic optimization problems with general non-polyhedral convex cones because
the conic inequalities introduce an additional nonlinear coupling between the
variables. However in many applications the convex cones have a partially
separable structure that allows them to be characterized in terms of simpler
lower-dimensional cones. The most important example is sparse semidefinite
programming with a chordal sparsity pattern. Here partial separability derives
from the clique decomposition theorems that characterize positive semidefinite
and positive-semidefinite-completable matrices with chordal sparsity patterns.
The paper describes a decomposition method that exploits partial separability
in conic linear optimization. The method is based on Spingarn's method for
equality constrained convex optimization, combined with a fast interior-point
method for evaluating proximal operators
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