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

Bounding stationary averages of polynomial diffusions via semidefinite programming

We introduce an algorithm based on semidefinite programming that yields increasing (resp. decreasing) sequences of lower (resp. upper) bounds on polynomial stationary averages of diffusions with polynomial drift vector and diffusion coefficients. The bounds are obtained by optimising an objective, determined by the stationary average of interest, over the set of real vectors defined by certain linear equalities and semidefinite inequalities which are satisfied by the moments of any stationary measure of the diffusion. We exemplify the use of the approach through several applications: a Bayesian inference problem; the computation of Lyapunov exponents of linear ordinary differential equations perturbed by multiplicative white noise; and a reliability problem from structural mechanics. Additionally, we prove that the bounds converge to the infimum and supremum of the set of stationary averages for certain SDEs associated with the computation of the Lyapunov exponents, and we provide numerical evidence of convergence in more general settings

A paradox in bosonic energy computations via semidefinite programming relaxations

We show that the recent hierarchy of semidefinite programming relaxations based on non-commutative polynomial optimization and reduced density matrix variational methods exhibits an interesting paradox when applied to the bosonic case: even though it can be rigorously proven that the hierarchy collapses after the first step, numerical implementations of higher order steps generate a sequence of improving lower bounds that converges to the optimal solution. We analyze this effect and compare it with similar behavior observed in implementations of semidefinite programming relaxations for commutative polynomial minimization. We conclude that the method converges due to the rounding errors occurring during the execution of the numerical program, and show that convergence is lost as soon as computer precision is incremented. We support this conclusion by proving that for any element p of a Weyl algebra which is non-negative in the Schrodinger representation there exists another element p' arbitrarily close to p that admits a sum of squares decomposition.Comment: 22 pages, 4 figure