International Conference on Continuous Optimization (ICCOPT) 2019 Conference Book

The Sixth International Conference on Continuous Optimization took place on the campus of the Technical University of Berlin, August 3-8, 2019. The ICCOPT is a flagship conference of the Mathematical Optimization Society (MOS), organized every three years. ICCOPT 2019 was hosted by the Weierstrass Institute for Applied Analysis and Stochastics (WIAS) Berlin. It included a Summer School and a Conference with a series of plenary and semi-plenary talks, organized and contributed sessions, and poster sessions. This book comprises the full conference program. It contains, in particular, the scientific program in survey style as well as with all details, and information on the social program, the venue, special meetings, and more

A Parametric Non-Convex Decomposition Algorithm for Real-Time and Distributed NMPC

A novel decomposition scheme to solve parametric non-convex programs as they arise in Nonlinear Model Predictive Control (NMPC) is presented. It consists of a fixed number of alternating proximal gradient steps and a dual update per time step. Hence, the proposed approach is attractive in a real-time distributed context. Assuming that the Nonlinear Program (NLP) is semi-algebraic and that its critical points are strongly regular, contraction of the sequence of primal-dual iterates is proven, implying stability of the sub-optimality error, under some mild assumptions. Moreover, it is shown that the performance of the optimality-tracking scheme can be enhanced via a continuation technique. The efficacy of the proposed decomposition method is demonstrated by solving a centralised NMPC problem to control a DC motor and a distributed NMPC program for collaborative tracking of unicycles, both within a real-time framework. Furthermore, an analysis of the sub-optimality error as a function of the sampling period is proposed given a fixed computational power.Comment: 16 pages, 9 figure

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

Guaranteed Minimum-Rank Solutions of Linear Matrix Equations via Nuclear Norm Minimization

The affine rank minimization problem consists of finding a matrix of minimum rank that satisfies a given system of linear equality constraints. Such problems have appeared in the literature of a diverse set of fields including system identification and control, Euclidean embedding, and collaborative filtering. Although specific instances can often be solved with specialized algorithms, the general affine rank minimization problem is NP-hard. In this paper, we show that if a certain restricted isometry property holds for the linear transformation defining the constraints, the minimum rank solution can be recovered by solving a convex optimization problem, namely the minimization of the nuclear norm over the given affine space. We present several random ensembles of equations where the restricted isometry property holds with overwhelming probability. The techniques used in our analysis have strong parallels in the compressed sensing framework. We discuss how affine rank minimization generalizes this pre-existing concept and outline a dictionary relating concepts from cardinality minimization to those of rank minimization

Non-Convex Optimization and Applications to Bilinear Programming and Super-Resolution Imaging

Bilinear programs and Phase Retrieval are two instances of nonconvex problems that arise in engineering and physical applications, and both occur with their fundamental difficulties. In this thesis, we consider various methods and algorithms for tackling these challenging problems and discuss their effectiveness. Bilinear programs (BLPs) are ubiquitous in engineering applications, economics, and operations research, and have a natural encoding to quadratic programs. They appear in the study of Lyapunov functions used to deduce the stability of solutions to differential equations describing dynamical systems. For multivariate dynamical systems, the problem formulation for computing an appropriate Lyapunov function is a BLP. In electric power systems engineering, one of the most practically important and well-researched subfields of constrained nonlinear optimization is Optimal Power Flow wherein one attempts to optimize an electric power system subject to physical constraints imposed by electrical laws and engineering limits, which can be naturally formulated as a quadratic program. In a recent publication, we studied the relationship between data flow constraints for numerical domains such as polyhedra and bilinear constraints. The problem of recovering an image from its Fourier modulus, or intensity, measurements emerges in many physical and engineering applications. The problem is known as Fourier phase retrieval wherein one attempts to recover the phase information of a signal in order to accurately reconstruct it from estimated intensity measurements by applying the inverse Fourier transform. The problem of recovering phase information from a set of measurements can be formulated as a quadratic program. This problem is well-studied but still presents many challenges. The resolution of an optical device is defined as the smallest distance between two objects such that the two objects can still be recognized as separate entities. Due to the physics of diffraction, and the way that light bends around an obstacle, the resolving power of an optical system is limited. This limit, known as the diffraction limit, was first introduced by Ernst Abbe in 1873. Obtaining the complete phase information would enable one to perfectly reconstruct an image; however, the problem is severely ill-posed and the leads to a specialized type of quadratic program, known as super-resolution imaging, wherein one attempts to learn phase information beyond the limits of diffraction and the limitations imposed by the imaging device