Sequential Convex Restriction and its Applications in Robust Optimization

arXiv1909.01778MaRDI QIDQ6324672FDOQ6324672

Authors: Dongchan Lee, Konstantin S. Turitsyn, Jean-Jacques Slotine 

Publication date: 4 September 2019

Abstract: This paper presents a convex sufficient condition for solving a system of nonlinear equations under parametric changes and proposes a sequential convex optimization method for solving robust optimization problems with nonlinear equality constraints. By bounding the nonlinearity with concave envelopes and using Brouwer's fixed point theorem, the sufficient condition is expressed in terms of closed-form convex inequality constraints. We extend the result to provide a convex sufficient condition for feasibility under bounded uncertainty. Using these conditions, a non-convex optimization problem can be solved as a sequence of convex optimization problems, with feasibility and robustness guarantees. We present a detailed analysis of the performance and complexity of the proposed condition. The examples in polynomial optimization and nonlinear network are provided to illustrate the proposed method.

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