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

Recent Advances in Computational Methods for the Power Flow Equations

The power flow equations are at the core of most of the computations for designing and operating electric power systems. The power flow equations are a system of multivariate nonlinear equations which relate the power injections and voltages in a power system. A plethora of methods have been devised to solve these equations, starting from Newton-based methods to homotopy continuation and other optimization-based methods. While many of these methods often efficiently find a high-voltage, stable solution due to its large basin of attraction, most of the methods struggle to find low-voltage solutions which play significant role in certain stability-related computations. While we do not claim to have exhausted the existing literature on all related methods, this tutorial paper introduces some of the recent advances in methods for solving power flow equations to the wider power systems community as well as bringing attention from the computational mathematics and optimization communities to the power systems problems. After briefly reviewing some of the traditional computational methods used to solve the power flow equations, we focus on three emerging methods: the numerical polynomial homotopy continuation method, Groebner basis techniques, and moment/sum-of-squares relaxations using semidefinite programming. In passing, we also emphasize the importance of an upper bound on the number of solutions of the power flow equations and review the current status of research in this direction.Comment: 13 pages, 2 figures. Submitted to the Tutorial Session at IEEE 2016 American Control Conferenc

Algorithm 950: Ncpol2sdpa---Sparse Semidefinite Programming Relaxations for Polynomial Optimization Problems of Noncommuting Variables

A hierarchy of semidefinite programming (SDP) relaxations approximates the global optimum of polynomial optimization problems of noncommuting variables. Generating the relaxation, however, is a computationally demanding task, and only problems of commuting variables have efficient generators. We develop an implementation for problems of noncommuting problems that creates the relaxation to be solved by SDPA -- a high-performance solver that runs in a distributed environment. We further exploit the inherent sparsity of optimization problems in quantum physics to reduce the complexity of the resulting relaxations. Constrained problems with a relaxation of order two may contain up to a hundred variables. The implementation is available in Python. The tool helps solve problems such as finding the ground state energy or testing quantum correlations.Comment: 17 pages, 3 figures, 1 table, 2 algorithms, the algorithm is available at http://peterwittek.github.io/ncpol2sdpa

Certification of inequalities involving transcendental functions: combining SDP and max-plus approximation

We consider the problem of certifying an inequality of the form $f(x)\geq 0$, $\forall x\in K$, where $f$ is a multivariate transcendental function, and $K$ is a compact semialgebraic set. We introduce a certification method, combining semialgebraic optimization and max-plus approximation. We assume that $f$ is given by a syntaxic tree, the constituents of which involve semialgebraic operations as well as some transcendental functions like $\cos$, $\sin$, $\exp$, etc. We bound some of these constituents by suprema or infima of quadratic forms (max-plus approximation method, initially introduced in optimal control), leading to semialgebraic optimization problems which we solve by semidefinite relaxations. The max-plus approximation is iteratively refined and combined with branch and bound techniques to reduce the relaxation gap. Illustrative examples of application of this algorithm are provided, explaining how we solved tight inequalities issued from the Flyspeck project (one of the main purposes of which is to certify numerical inequalities used in the proof of the Kepler conjecture by Thomas Hales).Comment: 7 pages, 3 figures, 3 tables, Appears in the Proceedings of the European Control Conference ECC'13, July 17-19, 2013, Zurich, pp. 2244--2250, copyright EUCA 201

Certification of Bounds of Non-linear Functions: the Templates Method

The aim of this work is to certify lower bounds for real-valued multivariate functions, defined by semialgebraic or transcendental expressions. The certificate must be, eventually, formally provable in a proof system such as Coq. The application range for such a tool is widespread; for instance Hales' proof of Kepler's conjecture yields thousands of inequalities. We introduce an approximation algorithm, which combines ideas of the max-plus basis method (in optimal control) and of the linear templates method developed by Manna et al. (in static analysis). This algorithm consists in bounding some of the constituents of the function by suprema of quadratic forms with a well chosen curvature. This leads to semialgebraic optimization problems, solved by sum-of-squares relaxations. Templates limit the blow up of these relaxations at the price of coarsening the approximation. We illustrate the efficiency of our framework with various examples from the literature and discuss the interfacing with Coq.Comment: 16 pages, 3 figures, 2 table