A Parametric Non-Convex Decomposition Algorithm for Real-Time and Distributed NMPC

A novel decomposition scheme to solve parametric non-convex programs as they arise in Nonlinear Model Predictive Control (NMPC) is presented. It consists of a fixed number of alternating proximal gradient steps and a dual update per time step. Hence, the proposed approach is attractive in a real-time distributed context. Assuming that the Nonlinear Program (NLP) is semi-algebraic and that its critical points are strongly regular, contraction of the sequence of primal-dual iterates is proven, implying stability of the sub-optimality error, under some mild assumptions. Moreover, it is shown that the performance of the optimality-tracking scheme can be enhanced via a continuation technique. The efficacy of the proposed decomposition method is demonstrated by solving a centralised NMPC problem to control a DC motor and a distributed NMPC program for collaborative tracking of unicycles, both within a real-time framework. Furthermore, an analysis of the sub-optimality error as a function of the sampling period is proposed given a fixed computational power.Comment: 16 pages, 9 figure

Gale duality, decoupling, parameter homotopies, and monodromy

2014 Spring.Numerical Algebraic Geometry (NAG) has recently seen significantly increased application among scientists and mathematicians as a tool that can be used to solve nonlinear systems of equations, particularly polynomial systems. With the many recent advances in the field, we can now routinely solve problems that could not have been solved even 10 years ago. We will give an introduction and overview of numerical algebraic geometry and homotopy continuation methods; discuss heuristics for preconditioning fewnomial systems, as well as provide a hybrid symbolic-numerical algorithm for computing the solutions of these types of polynomials and associated software called galeDuality; describe a software module of bertini named paramotopy that is scientific software specifically designed for large-scale parameter homotopy runs; give two examples that are parametric polynomial systems on which the aforementioned software is used; and finally describe two novel algorithms, decoupling and a heuristic that makes use of monodromy

On the Link between Gaussian Homotopy Continuation and Convex Envelopes

Abstract. The continuation method is a popular heuristic in computer vision for nonconvex optimization. The idea is to start from a simpli-fied problem and gradually deform it to the actual task while tracking the solution. It was first used in computer vision under the name of graduated nonconvexity. Since then, it has been utilized explicitly or im-plicitly in various applications. In fact, state-of-the-art optical flow and shape estimation rely on a form of continuation. Despite its empirical success, there is little theoretical understanding of this method. This work provides some novel insights into this technique. Specifically, there are many ways to choose the initial problem and many ways to progres-sively deform it to the original task. However, here we show that when this process is constructed by Gaussian smoothing, it is optimal in a specific sense. In fact, we prove that Gaussian smoothing emerges from the best affine approximation to Vese’s nonlinear PDE. The latter PDE evolves any function to its convex envelope, hence providing the optimal convexification

Numerical algebraic geometry for model selection and its application to the life sciences

Researchers working with mathematical models are often confronted by the related problems of parameter estimation, model validation, and model selection. These are all optimization problems, well-known to be challenging due to non-linearity, non-convexity and multiple local optima. Furthermore, the challenges are compounded when only partial data is available. Here, we consider polynomial models (e.g., mass-action chemical reaction networks at steady state) and describe a framework for their analysis based on optimization using numerical algebraic geometry. Specifically, we use probability-one polynomial homotopy continuation methods to compute all critical points of the objective function, then filter to recover the global optima. Our approach exploits the geometric structures relating models and data, and we demonstrate its utility on examples from cell signaling, synthetic biology, and epidemiology.Comment: References added, additional clarification