6,726 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
A stochastic approximation algorithm for stochastic semidefinite programming
Motivated by applications to multi-antenna wireless networks, we propose a
distributed and asynchronous algorithm for stochastic semidefinite programming.
This algorithm is a stochastic approximation of a continous- time matrix
exponential scheme regularized by the addition of an entropy-like term to the
problem's objective function. We show that the resulting algorithm converges
almost surely to an -approximation of the optimal solution
requiring only an unbiased estimate of the gradient of the problem's stochastic
objective. When applied to throughput maximization in wireless multiple-input
and multiple-output (MIMO) systems, the proposed algorithm retains its
convergence properties under a wide array of mobility impediments such as user
update asynchronicities, random delays and/or ergodically changing channels.
Our theoretical analysis is complemented by extensive numerical simulations
which illustrate the robustness and scalability of the proposed method in
realistic network conditions.Comment: 25 pages, 4 figure
Distributed Maximum Likelihood Sensor Network Localization
We propose a class of convex relaxations to solve the sensor network
localization problem, based on a maximum likelihood (ML) formulation. This
class, as well as the tightness of the relaxations, depends on the noise
probability density function (PDF) of the collected measurements. We derive a
computational efficient edge-based version of this ML convex relaxation class
and we design a distributed algorithm that enables the sensor nodes to solve
these edge-based convex programs locally by communicating only with their close
neighbors. This algorithm relies on the alternating direction method of
multipliers (ADMM), it converges to the centralized solution, it can run
asynchronously, and it is computation error-resilient. Finally, we compare our
proposed distributed scheme with other available methods, both analytically and
numerically, and we argue the added value of ADMM, especially for large-scale
networks
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