1,629 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 sequential semidefinite programming method and an application in passive reduced-order modeling
We consider the solution of nonlinear programs with nonlinear
semidefiniteness constraints. The need for an efficient exploitation of the
cone of positive semidefinite matrices makes the solution of such nonlinear
semidefinite programs more complicated than the solution of standard nonlinear
programs. In particular, a suitable symmetrization procedure needs to be chosen
for the linearization of the complementarity condition. The choice of the
symmetrization procedure can be shifted in a very natural way to certain linear
semidefinite subproblems, and can thus be reduced to a well-studied problem.
The resulting sequential semidefinite programming (SSP) method is a
generalization of the well-known SQP method for standard nonlinear programs. We
present a sensitivity result for nonlinear semidefinite programs, and then
based on this result, we give a self-contained proof of local quadratic
convergence of the SSP method. We also describe a class of nonlinear
semidefinite programs that arise in passive reduced-order modeling, and we
report results of some numerical experiments with the SSP method applied to
problems in that class
An extension of Yuan's Lemma and its applications in optimization
We prove an extension of Yuan's Lemma to more than two matrices, as long as
the set of matrices has rank at most 2. This is used to generalize the main
result of [A. Baccari and A. Trad. On the classical necessary second-order
optimality conditions in the presence of equality and inequality constraints.
SIAM J. Opt., 15(2):394--408, 2005], where the classical necessary second-order
optimality condition is proved under the assumption that the set of Lagrange
multipliers is a bounded line segment. We prove the result under the more
general assumption that the hessian of the Lagrangian evaluated at the vertices
of the Lagrange multiplier set is a matrix set with at most rank 2. We apply
the results to prove the classical second-order optimality condition to
problems with quadratic constraints and without constant rank of the jacobian
matrix
An algorithm for constrained one-step inversion of spectral CT data
We develop a primal-dual algorithm that allows for one-step inversion of
spectral CT transmission photon counts data to a basis map decomposition. The
algorithm allows for image constraints to be enforced on the basis maps during
the inversion. The derivation of the algorithm makes use of a local upper
bounding quadratic approximation to generate descent steps for non-convex
spectral CT data discrepancy terms, combined with a new convex-concave
optimization algorithm. Convergence of the algorithm is demonstrated on
simulated spectral CT data. Simulations with noise and anthropomorphic phantoms
show examples of how to employ the constrained one-step algorithm for spectral
CT data.Comment: Submitted to Physics in Medicine and Biolog
Approximate Dynamic Programming via Sum of Squares Programming
We describe an approximate dynamic programming method for stochastic control
problems on infinite state and input spaces. The optimal value function is
approximated by a linear combination of basis functions with coefficients as
decision variables. By relaxing the Bellman equation to an inequality, one
obtains a linear program in the basis coefficients with an infinite set of
constraints. We show that a recently introduced method, which obtains convex
quadratic value function approximations, can be extended to higher order
polynomial approximations via sum of squares programming techniques. An
approximate value function can then be computed offline by solving a
semidefinite program, without having to sample the infinite constraint. The
policy is evaluated online by solving a polynomial optimization problem, which
also turns out to be convex in some cases. We experimentally validate the
method on an autonomous helicopter testbed using a 10-dimensional helicopter
model.Comment: 7 pages, 5 figures. Submitted to the 2013 European Control
Conference, Zurich, Switzerlan
- …