4,111 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
Optimal designs for rational function regression
We consider optimal non-sequential designs for a large class of (linear and
nonlinear) regression models involving polynomials and rational functions with
heteroscedastic noise also given by a polynomial or rational weight function.
The proposed method treats D-, E-, A-, and -optimal designs in a
unified manner, and generates a polynomial whose zeros are the support points
of the optimal approximate design, generalizing a number of previously known
results of the same flavor. The method is based on a mathematical optimization
model that can incorporate various criteria of optimality and can be solved
efficiently by well established numerical optimization methods. In contrast to
previous optimization-based methods proposed for similar design problems, it
also has theoretical guarantee of its algorithmic efficiency; in fact, the
running times of all numerical examples considered in the paper are negligible.
The stability of the method is demonstrated in an example involving high degree
polynomials. After discussing linear models, applications for finding locally
optimal designs for nonlinear regression models involving rational functions
are presented, then extensions to robust regression designs, and trigonometric
regression are shown. As a corollary, an upper bound on the size of the support
set of the minimally-supported optimal designs is also found. The method is of
considerable practical importance, with the potential for instance to impact
design software development. Further study of the optimality conditions of the
main optimization model might also yield new theoretical insights.Comment: 25 pages. Previous version updated with more details in the theory
and additional example
Positive Forms and Stability of Linear Time-Delay Systems
We consider the problem of constructing Lyapunov functions for linear
differential equations with delays. For such systems it is known that
exponential stability implies the existence of a positive Lyapunov function
which is quadratic on the space of continuous functions. We give an explicit
parametrization of a sequence of finite-dimensional subsets of the cone of
positive Lyapunov functions using positive semidefinite matrices. This allows
stability analysis of linear time-delay systems to be formulated as a
semidefinite program.Comment: journal version, 14 page
Generating Non-Linear Interpolants by Semidefinite Programming
Interpolation-based techniques have been widely and successfully applied in
the verification of hardware and software, e.g., in bounded-model check- ing,
CEGAR, SMT, etc., whose hardest part is how to synthesize interpolants. Various
work for discovering interpolants for propositional logic, quantifier-free
fragments of first-order theories and their combinations have been proposed.
However, little work focuses on discovering polynomial interpolants in the
literature. In this paper, we provide an approach for constructing non-linear
interpolants based on semidefinite programming, and show how to apply such
results to the verification of programs by examples.Comment: 22 pages, 4 figure
Inverse polynomial optimization
We consider the inverse optimization problem associated with the polynomial
program f^*=\min \{f(x): x\in K\}y\in
K\tilde{f}fy\tilde{f}Kd\tilde{f}\Vert f-\tilde{f}\Vert\ell_1\ell_2\ell_\infty\tilde{f}_df(\y)f^*\ell_1\tilde{f}$ takes a
simple and explicit canonical form. Some variations are also discussed.Comment: 25 pages; to appear in Math. Oper. Res; Rapport LAAS no. 1114
Bounding stationary averages of polynomial diffusions via semidefinite programming
We introduce an algorithm based on semidefinite programming that yields
increasing (resp. decreasing) sequences of lower (resp. upper) bounds on
polynomial stationary averages of diffusions with polynomial drift vector and
diffusion coefficients. The bounds are obtained by optimising an objective,
determined by the stationary average of interest, over the set of real vectors
defined by certain linear equalities and semidefinite inequalities which are
satisfied by the moments of any stationary measure of the diffusion. We
exemplify the use of the approach through several applications: a Bayesian
inference problem; the computation of Lyapunov exponents of linear ordinary
differential equations perturbed by multiplicative white noise; and a
reliability problem from structural mechanics. Additionally, we prove that the
bounds converge to the infimum and supremum of the set of stationary averages
for certain SDEs associated with the computation of the Lyapunov exponents, and
we provide numerical evidence of convergence in more general settings
Backstepping PDE Design: A Convex Optimization Approach
Abstract\u2014Backstepping design for boundary linear PDE is
formulated as a convex optimization problem. Some classes of
parabolic PDEs and a first-order hyperbolic PDE are studied,
with particular attention to non-strict feedback structures. Based
on the compactness of the Volterra and Fredholm-type operators
involved, their Kernels are approximated via polynomial
functions. The resulting Kernel-PDEs are optimized using Sumof-
Squares (SOS) decomposition and solved via semidefinite
programming, with sufficient precision to guarantee the stability
of the system in the L2-norm. This formulation allows optimizing
extra degrees of freedom where the Kernel-PDEs are included
as constraints. Uniqueness and invertibility of the Fredholm-type
transformation are proved for polynomial Kernels in the space
of continuous functions. The effectiveness and limitations of the
approach proposed are illustrated by numerical solutions of some
Kernel-PDEs
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