Quadratic maximization of reachable values of affine systems with diagonalizable matrix
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Publication:2032024
DOI10.1007/S10957-021-01825-YzbMATH Open1470.90062arXiv2006.09897OpenAlexW3128889190MaRDI QIDQ2032024FDOQ2032024
Publication date: 15 June 2021
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Abstract: In this paper, we solve a maximization problem where the objective function is quadratic and convex or concave and the constraints set is the reachable value set of a convergent discrete-time affine system. Moreover, we assume that the matrix defining the system is diagonalizable. The difficulty of the problem lies in the infinite sequence to handle in the constraint set. Equivalently, the problem requires to solve an infinite number of quadratic programs. Therefore, the main idea is to extract a finite of them and to guarantee that the resolution of the extracted problems provides the optimal value and a maximizer for the initial problem. The number of quadratic programs to solve has to be the smallest possible. Actually, we construct a family of integers that over-approximate the exact number of quadratic programs to solve using basic ideas of linear algebra. This family of integers is used in the final algorithm. A new computation of an integer of the family within the algorithm ensures a reduction of the number of loop iterations. The method proposed in the paper is illustrated on small academic examples. Finally, the algorithm is experimented on randomly generated instances of the problem.
Full work available at URL: https://arxiv.org/abs/2006.09897
quadratic programmingconvex programsconcave programsdiscrete-time affine systemsreachable values set
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