Online Primal-Dual Methods With Measurement Feedback for Time-Varying Convex Optimization

DOI10.1109/TSP.2019.2896112MaRDI QIDQ4631488zbMATH OpenOpenAlexWikidataFDO

Authors Andrey Bernstein, Emiliano Dall'Anese, Andrea Simonetto

Publication date 29 March 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.05159

Mathematics Subject Classification ID

Online algorithms; streaming algorithms (68W27) Convex programming (90C25)

Abstract: This paper addresses the design and analysis of feedback-based online algorithms to control systems or networked systems based on performance objectives and engineering constraints that may evolve over time. The emerging time-varying convex optimization formalism is leveraged to model optimal operational trajectories of the systems, as well as explicit local and network-level operational constraints. Departing from existing batch and feed-forward optimization approaches, the design of the algorithms capitalizes on an online implementation of primal-dual projected-gradient methods; the gradient steps are, however, suitably modified to accommodate feedback from the system in the form of measurements - hence, the term "online optimization with feedback." By virtue of this approach, the resultant algorithms can cope with model mismatches in the algebraic representation of the system states and outputs, they avoid pervasive measurements of exogenous inputs, and they naturally lend themselves to a distributed implementation. Under suitable assumptions, analytical convergence claims are established in terms of dynamic regret. Furthermore, when the synthesis of the feedback-based online algorithms is based on a regularized Lagrangian function, Q-linear convergence to solutions of the time-varying optimization problem is shown.

Cited in

(16)

• Bounds for the tracking error of first-order online optimization methods
• Online data-enabled predictive control
• Adaptive backstepping for distributed optimization
• Personalized optimization with user's feedback
• Projected dynamical systems on irregular, non-Euclidean domains for nonlinear optimization
• Constrained Online Convex Optimization With Feedback Delays
• Running Primal-Dual Gradient Method for Time-Varying Nonconvex Problems
• Time-Variation in Online Nonconvex Optimization Enables Escaping From Spurious Local Minima
• A stability condition for online feedback optimization without timescale separation
• Augmented Lagrangian methods for time-varying constrained online convex optimization
• Online optimisation for dynamic electrical impedance tomography
• A control theoretical approach to online constrained optimization
• Prediction techniques for dynamic imaging with online primal-dual methods
• Distributed online path-length-independent algorithm for noncooperative games over unbalanced digraphs
• Primal-dual prediction-correction method with tunable memory for linearly constrained time-varying convex optimization
• On the performance of stochastic gradient methods with momentum in time-varying regimes

This page was built for publication: Online Primal-Dual Methods With Measurement Feedback for Time-Varying Convex Optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4631488)