Prediction-Correction Algorithms for Time-Varying Constrained Optimization

DOI10.1109/TSP.2017.2728498MaRDI QIDQ4628107zbMATHOpenAlexFDO

Authors Andrea Simonetto, Emiliano Dall'Anese

Publication date 6 March 2019

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

Full work available at URL https://arxiv.org/abs/1611.03681

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: This paper develops online algorithms to track solutions of time-varying constrained optimization problems. Particularly, resembling workhorse Kalman filtering-based approaches for dynamical systems, the proposed methods involve prediction-correction steps to provably track the trajectory of the optimal solutions of time-varying convex problems. The merits of existing prediction-correction methods have been shown for unconstrained problems and for setups where computing the inverse of the Hessian of the cost function is computationally affordable. This paper addresses the limitations of existing methods by tackling constrained problems and by designing first-order prediction steps that rely on the Hessian of the cost function (and do not require the computation of its inverse). In addition, the proposed methods are shown to improve the convergence speed of existing prediction-correction methods when applied to unconstrained problems. Numerical simulations corroborate the analytical results and showcase performance and benefits of the proposed algorithms. A realistic application of the proposed method to real-time control of energy resources is presented.

Cited in

(8)

• Discrete-time Euler-smoothing methods for time-varying convex constrained optimization
• Personalized optimization with user's feedback
• General four-step discrete-time zeroing and derivative dynamics applied to time-varying nonlinear optimization
• Bounds for the tracking error of first-order online optimization methods
• Predictive online optimisation with applications to optical flow
• Prediction-Correction Interior-Point Method for Time-Varying Convex Optimization
• Nonlinear optimization filters for stochastic time-varying convex optimization
• Running Primal-Dual Gradient Method for Time-Varying Nonconvex Problems

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