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

MM Algorithms for Geometric and Signomial Programming

This paper derives new algorithms for signomial programming, a generalization of geometric programming. The algorithms are based on a generic principle for optimization called the MM algorithm. In this setting, one can apply the geometric-arithmetic mean inequality and a supporting hyperplane inequality to create a surrogate function with parameters separated. Thus, unconstrained signomial programming reduces to a sequence of one-dimensional minimization problems. Simple examples demonstrate that the MM algorithm derived can converge to a boundary point or to one point of a continuum of minimum points. Conditions under which the minimum point is unique or occurs in the interior of parameter space are proved for geometric programming. Convergence to an interior point occurs at a linear rate. Finally, the MM framework easily accommodates equality and inequality constraints of signomial type. For the most important special case, constrained quadratic programming, the MM algorithm involves very simple updates.Comment: 16 pages, 1 figur

A hierarchical time-splitting approach for solving finite-time optimal control problems

We present a hierarchical computation approach for solving finite-time optimal control problems using operator splitting methods. The first split is performed over the time index and leads to as many subproblems as the length of the prediction horizon. Each subproblem is solved in parallel and further split into three by separating the objective from the equality and inequality constraints respectively, such that an analytic solution can be achieved for each subproblem. The proposed solution approach leads to a nested decomposition scheme, which is highly parallelizable. We present a numerical comparison with standard state-of-the-art solvers, and provide analytic solutions to several elements of the algorithm, which enhances its applicability in fast large-scale applications