Journal
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
Volume 67, Issue 6, Pages 2829-2842Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TAC.2021.3093857
Keywords
Optimization; Sensitivity; Signal processing algorithms; Robot sensing systems; Programming; Prediction algorithms; Jacobian matrices; Optimization; online optimization
Funding
- ETH Zurich funds
- Swiss Federal Office of Energy [SI/501707]
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Inspired by classical sensitivity results for nonlinear optimization, new quantitative bounds are derived to characterize the solution map and dual variables of a parametrized nonlinear program. The results are important for studying time-varying optimization problems in various applications, including power systems, robotics, signal processing, and more. Additionally, a new continuous-time running algorithm for time-varying constrained optimization is introduced.
Inspired by classical sensitivity results for nonlinear optimization, we derive and discuss new quantitative bounds to characterize the solution map and dual variables of a parametrized nonlinear program. In particular, we derive explicit expressions for the local and global Lipschitz constants of the solution map of nonconvex or convex optimization problems, respectively. Our results are geared towards the study of time-varying optimization problems, which are commonplace in various applications of online optimization, including power systems, robotics, signal processing, and more. In this context, our results can be used to bound the rate of change of the optimizer. To illustrate the use of our sensitivity bounds we generalize existing arguments to quantify the tracking performance of continuous-time, monotone running algorithms. Furthermore, we introduce a new continuous-time running algorithm for time-varying constrained optimization, which we model as a so-called perturbed sweeping process. For this discontinuous scheme we establish an explicit bound on the asymptotic solution tracking for a class of convex problems.
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