Robust distributed linear programming

This paper presents a robust, distributed algorithm to solve general linear programs. The algorithm design builds on the characterization of the solutions of the linear program as saddle points of a modified Lagrangian function. We show that the resulting continuous-time saddle-point algorithm is provably correct but, in general, not distributed because of a global parameter associated with the nonsmooth exact penalty function employed to encode the inequality constraints of the linear program. This motivates the design of a discontinuous saddle-point dynamics that, while enjoying the same convergence guarantees, is fully distributed and scalable with the dimension of the solution vector. We also characterize the robustness against disturbances and link failures of the proposed dynamics. Specifically, we show that it is integral-input-to-state stable but not input-to-state stable. The latter fact is a consequence of a more general result, that we also establish, which states that no algorithmic solution for linear programming is input-to-state stable when uncertainty in the problem data affects the dynamics as a disturbance. Our results allow us to establish the resilience of the proposed distributed dynamics to disturbances of finite variation and recurrently disconnected communication among the agents. Simulations in an optimal control application illustrate the results

Strong iISS: combination of iISS and ISS with respect to small inputs

International audienceThis paper studies the notion of Strong iISS, which imposes both integral input-to-state stability (iISS) and input-to-state stability (ISS) with respect to small inputs. This combination characterizes the robustness property, exhibited by many practical systems, that the state remains bounded as long as the magnitude of exogenous inputs is reasonably small but may diverge for stronger disturbances. We provide three Lyapunov-type sufficient conditions for Strong iISS. One is based on iISS Lyapunov functions admitting a radially non- vanishing (class K) dissipation rate. However we show that it is not a necessary condition for Strong iISS. Two less conservative conditions are then provided, which are used to demonstrate that asymptotically stable bilinear systems are Strongly iISS. Finally, we discuss cascade and feedback interconnections of Strong iISS systems