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Numerical Optimisation of Time-Varying Strongly Convex Functions Subject to Time-Varying Constraints
Dept. Electrical and Electronic Engineering, University of Melbourne, Melbourne Information Decision and Autonomous Systems Laboratory, Australia.ORCID iD: 0000-0003-3329-436X
2018 (English)In: 2018 IEEE Conference on Decision and Control (CDC), Institute of Electrical and Electronics Engineers (IEEE), 2018, p. 849-854, article id 8619392Conference paper, Published paper (Refereed)
Abstract [en]

This paper analyses the performance of projected gradient descent on optimisation problems with cost functions and constraints that vary in discrete time. Specifically, strongly convex cost functions with Lipschitz gradient, and a sequence of convex constraints are assumed. Error bounds and suboptimality bounds are derived for a variety of cases, which show convergence to a steady-state. Conditions on the constraint sequence are also presented for guaranteeing finite-time feasibility, and for bounding the distance between successive minimisers. Numerical examples are then presented to validate the analytical results.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2018. p. 849-854, article id 8619392
Series
Proceedings of the IEEE Conference on Decision and Control, ISSN 0743-1546 ; 2018-December
National Category
Control Engineering
Research subject
Applied and Computational Mathematics, Optimization and Systems Theory
Identifiers
URN: urn:nbn:se:kth:diva-318619DOI: 10.1109/cdc.2018.8619392Scopus ID: 2-s2.0-85062165100OAI: oai:DiVA.org:kth-318619DiVA, id: diva2:1697847
Conference
57th IEEE Conference on Decision and Control, CDC 2018, Miami, 17 December 2018, through 19 December 2018
Note

QC 20220922

Part of proceedings: ISBN 978-1-5386-1395-5

Available from: 2022-09-21 Created: 2022-09-21 Last updated: 2022-09-22Bibliographically approved

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Selvaratnam, Daniel

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  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
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