On infinite-dimensional convex programs

AbstractOne way to approach infinite-dimensional nonlinear programs is to append increasingly large cost or penalty terms to the objective function in such a way that the minima of the augmented but unconstrained functions converge to the constrained minimum in the limit. In this paper we establish the convergence of the penalty argument on reflexive B-spaces, and then apply it to obtain the Kuhn-Tucker necessary conditions for convex programs in Hillbert space. The proof is constructive and suggests a computationally feasible algorithm for solving such programs

Quantitative Stability and Optimality Conditions in Convex Semi-Infinite and Infinite Programming

This paper concerns parameterized convex infinite (or semi-infinite) inequality systems whose decision variables run over general infinite-dimensional Banach (resp. finite-dimensional) spaces and that are indexed by an arbitrary fixed set T . Parameter perturbations on the right-hand side of the inequalities are measurable and bounded, and thus the natural parameter space is $l_{\infty}(T)$. Based on advanced variational analysis, we derive a precise formula for computing the exact Lipschitzian bound of the feasible solution map, which involves only the system data, and then show that this exact bound agrees with the coderivative norm of the aforementioned mapping. On one hand, in this way we extend to the convex setting the results of [4] developed in the linear framework under the boundedness assumption on the system coefficients. On the other hand, in the case when the decision space is reflexive, we succeed to remove this boundedness assumption in the general convex case, establishing therefore results new even for linear infinite and semi-infinite systems. The last part of the paper provides verifiable necessary optimality conditions for infinite and semi-infinite programs with convex inequality constraints and general nonsmooth and nonconvex objectives. In this way we extend the corresponding results of [5] obtained for programs with linear infinite inequality constraints

From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming

We consider linear programming (LP) problems in infinite dimensional spaces that are in general computationally intractable. Under suitable assumptions, we develop an approximation bridge from the infinite-dimensional LP to tractable finite convex programs in which the performance of the approximation is quantified explicitly. To this end, we adopt the recent developments in two areas of randomized optimization and first order methods, leading to a priori as well as a posterior performance guarantees. We illustrate the generality and implications of our theoretical results in the special case of the long-run average cost and discounted cost optimal control problems for Markov decision processes on Borel spaces. The applicability of the theoretical results is demonstrated through a constrained linear quadratic optimal control problem and a fisheries management problem.Comment: 30 pages, 5 figure

Bandgap Optimization of Two-Dimensional Photonic Crystals Using Semidefinite Programming and Subspace Methods

In this paper, we consider the optimal design of photonic crystal structures for two-dimensional square lattices. The mathematical formulation of the bandgap optimization problem leads to an infinite-dimensional Hermitian eigenvalue optimization problem parametrized by the dielectric material and the wave vector. To make the problem tractable, the original eigenvalue problem is discretized using the finite element method into a series of finite-dimensional eigenvalue problems for multiple values of the wave vector parameter. The resulting optimization problem is large-scale and non-convex, with low regularity and non-differentiable objective. By restricting to appropriate eigenspaces, we reduce the large-scale non-convex optimization problem via reparametrization to a sequence of small-scale convex semidefinite programs (SDPs) for which modern SDP solvers can be efficiently applied. Numerical results are presented for both transverse magnetic (TM) and transverse electric (TE) polarizations at several frequency bands. The optimized structures exhibit patterns which go far beyond typical physical intuition on periodic media design

Peak Estimation of Rational Systems using Convex Optimization

This paper presents algorithms that upper-bound the peak value of a state function along trajectories of a continuous-time system with rational dynamics. The finite-dimensional but nonconvex peak estimation problem is cast as a convex infinite-dimensional linear program in occupation measures. This infinite-dimensional program is then truncated into finite-dimensions using the moment-Sum-of-Squares (SOS) hierarchy of semidefinite programs. Prior work on treating rational dynamics using the moment-SOS approach involves clearing dynamics to common denominators or by adding lifting variables to handle reciprocal terms under new equality constraints. Our solution method uses a sum-of-rational method based on absolute continuity of measures. The Moment-SOS truncations of our program possess lower computational complexity and (empirically demonstrated) higher accuracy of upper bounds on example systems as compared to prior approaches.Comment: 8 pages, 2 figures, 2 table

Constraint Qualifications and Optimality Conditions for Nonconvex Semi-Infinite and Infinite Programs

The paper concerns the study of new classes of nonlinear and nonconvex optimization problems of the so-called infinite programming that are generally defined on infinite-dimensional spaces of decision variables and contain infinitely many of equality and inequality constraints with arbitrary (may not be compact) index sets. These problems reduce to semi-infinite programs in the case of finite-dimensional spaces of decision variables. We extend the classical Mangasarian-Fromovitz and Farkas-Minkowski constraint qualifications to such infinite and semi-infinite programs. The new qualification conditions are used for efficient computing the appropriate normal cones to sets of feasible solutions for these programs by employing advanced tools of variational analysis and generalized differentiation. In the further development we derive first-order necessary optimality conditions for infinite and semi-infinite programs, which are new in both finite-dimensional and infinite-dimensional settings.Comment: 28 page