Local convergence of quasi-Newton methods under metric regularity

We consider quasi-Newton methods for generalized equations in Banach spaces under metric regularity and give a sufficient condition for q-linear convergence. Then we show that the well-known Broyden update satisfies this sufficient condition in Hilbert spaces. We also establish various modes of q-superlinear convergence of the Broyden update under strong metric subregularity, metric regularity and strong metric regularity. In particular, we show that the Broyden update applied to a generalized equation in Hilbert spaces satisfies the Dennis–Moré condition for q-superlinear convergence. Simple numerical examples illustrate the results.A. Belyakov was supported by the Austrian Science Foundation (FWF) under grant No P 24125-N13. A.L. Dontchev was supported by NSF Grant DMS 1008341 through the University of Michigan. M. López was supported by MINECO of Spain, Grant MTM2011-29064-C03-02

State constraints in the linear regulator problem: Case study

In this paper, we consider the problem of minimum-norm control of the double integrator with bilateral inequality constraints for the output. We approximate the constraints by piecewise linear functions and prove that the Langrange multipliers associated with the state constraints of the approximating problem are discrete measures, concentrated in at most two points in every interval of discretization. This allows us to reduce the problem to a convex finite-dimensional optimization problem. An algorithm based on this reduction is proposed and its convergence is examined. Numerical examples illustrate our approach. We also discuss regularity properties of the optimal control for a higher-dimensional state-constrained linear regulator problem.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/45244/1/10957_2005_Article_BF02192567.pd

Piecewise smooth systems near a co-dimension 2 discontinuity manifold: can one say what should happen?

We consider a piecewise smooth system in the neighborhood of a co-dimension 2 discontinuity manifold $\Sigma$. Within the class of Filippov solutions, if $\Sigma$ is attractive, one should expect solution trajectories to slide on $\Sigma$. It is well known, however, that the classical Filippov convexification methodology is ambiguous on $\Sigma$. The situation is further complicated by the possibility that, regardless of how sliding on $\Sigma$ is taking place, during sliding motion a trajectory encounters so-called generic first order exit points, where $\Sigma$ ceases to be attractive. In this work, we attempt to understand what behavior one should expect of a solution trajectory near $\Sigma$ when $\Sigma$ is attractive, what to expect when $\Sigma$ ceases to be attractive (at least, at generic exit points), and finally we also contrast and compare the behavior of some regularizations proposed in the literature. Through analysis and experiments we will confirm some known facts, and provide some important insight: (i) when $\Sigma$ is attractive, a solution trajectory indeed does remain near $\Sigma$, viz. sliding on $\Sigma$ is an appropriate idealization (of course, in general, one cannot predict which sliding vector field should be selected); (ii) when $\Sigma$ loses attractivity (at first order exit conditions), a typical solution trajectory leaves a neighborhood of $\Sigma$; (iii) there is no obvious way to regularize the system so that the regularized trajectory will remain near $\Sigma$ as long as $\Sigma$ is attractive, and so that it will be leaving (a neighborhood of) $\Sigma$ when $\Sigma$ looses attractivity. We reach the above conclusions by considering exclusively the given piecewise smooth system, without superimposing any assumption on what kind of dynamics near $\Sigma$ (or sliding motion on $\Sigma$) should have been taking place.Comment: 19 figure

Robinson's implicit function theorem

Robinson's implicit function theorem has played a mayor role in the analysis of stability of optimization problems in the last two decades. In this paper we take a new look at this theorem, and with an updated terminology go back to the roots and present some extensions

Local convergence of quasi-Newton methods under metric regularity

We consider quasi-Newton methods for generalized equations in Banach spaces under metric regularity and give a sufficient condition for q-linear convergence. Then we show that the well-known Broyden update satisfies this sufficient condition in Hilbert spaces. We also establish various modes of q-superlinear convergence of the Broyden update under strong metric subregularity, metric regularity and strong metric regularity. In particular, we show that the Broyden update applied to a generalized equation in Hilbert spaces satisfies the Dennis–Moré condition for q-superlinear convergence. Simple numerical examples illustrate the results.A. Belyakov was supported by the Austrian Science Foundation (FWF) under grant No P 24125-N13. A.L. Dontchev was supported by NSF Grant DMS 1008341 through the University of Michigan. M. López was supported by MINECO of Spain, Grant MTM2011-29064-C03-02