Mathematics - Optimization and Control Publications (50)


Mathematics - Optimization and Control Publications

In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank account, a risky asset with stochastic volatility and a defaultable corporate bond. We discuss the optimal investment strategy into two subproblems: a pre-default case and a post-default case. Read More

There is widespread sentiment that it is not possible to effectively utilize fast gradient methods (e.g. Nesterov's acceleration, conjugate gradient, heavy ball) for the purposes of stochastic optimization due to their instability and error accumulation, a notion made precise in d'Aspremont 2008 and Devolder, Glineur, and Nesterov 2014. Read More

Reference [11] investigated the almost sure weak convergence of a block-coordinate fixed point algorithm and discussed its application to nonlinear analysis and optimization. This algorithm features random sweeping rules to select arbitrarily the blocks of variables that are activated over the course of the iterations and it allows for stochastic errors in the evaluation of the operators. The present paper establishes results on the mean-square and linear convergence of the iterates. Read More

In this paper, we investigate an optimal design problem motivated by some issues arising in population dynamics. In a nutshell, we aim at determining the optimal shape of a region occupied by resources for maximizing the survival ability of a species in a given box and we consider the general case of Robin boundary conditions on its boundary. Mathematically, this issue can be modeled with the help of an extremal indefinite weight linear eigenvalue problem. Read More

In this paper, we study the generalized mean-field stochastic control problem when the usual stochastic maximum principle (SMP) is not applicable due to the singularity of the Hamiltonian function. In this case, we derive a second order SMP. We introduce the adjoint process by the generalized mean-field backward stochastic differential equation. Read More

In this paper, we study the stochastic gradient descent (SGD) method for the nonconvex nonsmooth optimization, and propose an accelerated SGD method by combining the variance reduction technique with Nesterov's extrapolation technique. Moreover, based on the local error bound condition, we establish the linear convergence of our method to obtain a stationary point of the nonconvex optimization. In particular, we prove that not only the sequence generated linearly converges to a stationary point of the problem, but also the corresponding sequence of objective values is linearly convergent. Read More

In many smart infrastructure applications flexibility in achieving sustainability goals can be gained by engaging end-users. However, these users often have heterogeneous preferences that are unknown to the decision-maker tasked with improving operational efficiency. Modeling user interaction as a continuous game between non-cooperative players, we propose a robust parametric utility learning framework that employs constrained feasible generalized least squares estimation with heteroskedastic inference. Read More

This paper considers the problem of decentralized optimization with a composite objective containing smooth and non-smooth terms. To solve the problem, a proximal-gradient scheme is studied. Specifically, the smooth and nonsmooth terms are dealt with by gradient update and proximal update, respectively. Read More

Many real-world control systems, such as the smart grid and human sensorimotor control systems, have decentralized components that react quickly using local information and centralized components that react slowly using a more global view. This paper seeks to provide a theoretical framework for how to design controllers that are decomposed across timescales in this way. The framework is analogous to how the network utility maximization framework uses optimization decomposition to distribute a global control problem across independent controllers, each of which solves a local problem; except our goal is to decompose a global problem temporally, extracting a timescale separation. Read More

We revisit closed-loop performance guarantees for Model Predictive Control in the deterministic and stochastic cases, which extend to novel performance results applicable to receding horizon control of Partially Observable Markov Decision Processes. While performance guarantees similar to those achievable in deterministic Model Predictive Control can be obtained even in the stochastic case, the presumed stochastic optimal control law is intractable to obtain in practice. However, this intractability relaxes for a particular instance of stochastic systems, namely Partially Observable Markov Decision Processes, provided reasonable problem dimensions are taken. Read More

Output-Feedback Stochastic Model Predictive Control based on Stochastic Optimal Control for nonlinear systems is computationally intractable because of the need to solve a Finite Horizon Stochastic Optimal Control Problem. However, solving this problem leads to an optimal probing nature of the resulting control law, called dual control, which trades off benefits of exploration and exploitation. In practice, intractability of Stochastic Model Predictive Control is typically overcome by replacement of the underlying Stochastic Optimal Control problem by more amenable approximate surrogate problems, which however come at a loss of the optimal probing nature of the control signals. Read More

We study a very small three player poker game (one-third street Kuhn poker), and a simplified version of the game that is interesting because it has three distinct equilibrium solutions. For one-third street Kuhn poker, we are able to find all of the equilibrium solutions analytically. For large enough pot size, $P$, there is a degree of freedom in the solution that allows one player to transfer profit between the other two players without changing their own profit. Read More

In this paper we study the spherical convexity of quadratic functions on spherically convex sets. In particular, conditions characterizing the spherical convexity of quadratic functions on spherical convex sets associated to the positive orthants, Lorentz and circular cones are given. Read More

We obtain an important generalization of the inverse weighted Fermat-Torricelli problem for tetrahedra in R^3 by assigning at the corresponding weighted Fermat-Torricelli point a remaining positive number (residual weight). As a consequence, we derive a new plasticity principle of weighted Fermat-Torricellitrees of degree five for boundary closed hexahedra in R^3 by applying a geometric plasticity principle which lead to the plasticity of mass transportation networks of degree five in R^3. We also derive a complete solution for an important generalization of the inverse weighted Fermat-Torricelli problem for three non-collinear points and a new plasticity principle of mass networks of degree four for boundary convex quadrilaterals in R^2. Read More

In this paper, we study polynomial norms, i.e. norms that are the $d^{\text{th}}$ root of a degree-$d$ homogeneous polynomial $f$. Read More

The semilinear beam equation with impulses, memory and delay is considered. We obtain the approximate controllability. This is done by employing a technique that avoids fixed point theorems and pulling back the control solution to a fixed curve in a short time interval. Read More

The underlying theme of Teichm\"uller's papers in function theory is a general principle which asserts that every extremal problem for univalent functions of one complex variable is connected with an associated quadratic differential. The purpose of this paper is to indicate a possible way of extending Teichm\"uller's principle to several complex variables. This approach is based on the Loewner differential equation. Read More

Devising efficient algorithms that track the optimizers of continuously varying convex optimization problems is key in many applications. A possible strategy is to sample the time-varying problem at constant rate and solve the resulting time-invariant problem. This can be too computationally burdensome in many scenarios. Read More

Consider a finite system of non-strict real polynomial inequalities and suppose its solution set $S\subseteq\mathbb R^n$ is convex, has nonempty interior and is compact. Suppose that the system satisfies the Archimedean condition, which is slightly stronger than the compactness of $S$. Suppose that each defining polynomial satisfies a second order strict quasiconcavity condition where it vanishes on $S$ (which is very natural because of the convexity of $S$) or its Hessian has a certain matrix sums of squares certificate for negative-semidefiniteness on $S$ (fulfilled trivially by linear polynomials). Read More

We propose a development of the Analytic Hierarchy Process (AHP) permitting to use the methodology also in cases of decision problems with a very large number of alternatives evaluated with respect to several criteria. While the application of the original AHP method involves many pairwise comparisons between alternatives and criteria, our proposal is composed of three steps: (i) direct evaluation of the alternatives at hand on the considered criteria, (ii) selection of some reference evaluations; (iii) application of the original AHP method to reference evaluations; (iv) revision of the direct evaluation on the basis of the prioritization supplied by AHP on reference evaluations. The new proposal has been tested and validated in an experiment conducted on a sample of university students. Read More

The tie-line scheduling problem in a multi-area power system seeks to optimize tie-line power flows across areas that are independently operated by different system operators (SOs). In this paper, we leverage the theory of multi-parametric linear programming to propose algorithms for optimal tie-line scheduling within a deterministic and a robust optimization framework. Through a coordinator, the proposed algorithms are proved to converge to the optimal schedule within a finite number of iterations. Read More

We present Newton-Krylov methods for efficient numerical solution of optimal control problems arising in model predictive control, where the optimal control is discontinuous. As in our earlier work, preconditioned GMRES practically results in an optimal $O(N)$ complexity, where $N$ is a discrete horizon length. Effects of a warm-start, shifting along the predictive horizon, are numerically investigated. Read More

We shed light on the structure of the "three-operator" version of the forward-Douglas--Rachford splitting algorithm for finding a zero of a sum of maximally monotone operators $A + B + C$, where $B$ is cocoercive, involving only the computation of $B$ and of the resolvent of $A$ and of $C$, separately. We show that it is a straightforward extension of a fixed-point algorithm proposed by us as a generalization of the forward-backward splitting algorithm, initially designed for finding a zero of a sum of an arbitrary number of maximally monotone operators $\sum_{i=1}^n A_i + B$, where $B$ is cocoercive, involving only the computation of $B$ and of the resolvent of each $A_i$ separately. We argue that, the former is the "true" forward-Douglas--Rachford splitting algorithm, in contrast to the initial use of this designation in the literature. Read More

The aim of this paper is to give a short overview on error bounds and to provide the first bricks of a unified theory. Inspired by the works of [8, 15, 13, 16, 10], we show indeed the centrality of the Lojasiewicz gradient inequality. For this, we review some necessary and sufficient conditions for global/local error bounds, both in the convex and nonconvex case. Read More

In this paper, the core convex topology on a real vector space $X$, which is constructed just by $X$ operators, is investigated. This topology, denoted by $\tau_c$, is the strongest topology which makes $X$ into a locally convex space. It is shown that some algebraic notions $(closure ~ and ~ interior)$ existing in the literature come from this topology. Read More

The interval subset sum problem (ISSP) is a generalization of the well-known subset sum problem. Given a set of intervals $\left\{[a_{i,1},a_{i,2}]\right\}_{i=1}^n$ and a target integer $T,$ the ISSP is to find a set of integers, at most one from each interval, such that their sum best approximates the target $T$ but cannot exceed it. In this paper, we first study the computational complexity of the ISSP. Read More

An adaptive regularization algorithm using high-order models is proposed for partially separable convexly constrained nonlinear optimization problems whose objective function contains non-Lipschitzian $\ell_q$-norm regularization terms for $q\in (0,1)$. It is shown that the algorithm using an $p$-th order Taylor model for $p$ odd needs in general at most $O(\epsilon^{-(p+1)/p})$ evaluations of the objective function and its derivatives (at points where they are defined) to produce an $\epsilon$-approximate first-order critical point. This result is obtained either with Taylor models at the price of requiring the feasible set to be 'kernel-centered' (which includes bound constraints and many other cases of interest), or for non-Lipschitz models, at the price of passing the difficulty to the computation of the step. Read More

Investigation of social influence dynamics requires mathematical models that are "simple" enough to admit rigorous analysis, and yet sufficiently "rich" to capture salient features of social groups. Thus, the mechanism of iterative opinion pooling from (DeGroot, 1974), which can explain the generation of consensus, was elaborated in (Friedkin and Johnsen, 1999) to take into account individuals' ongoing attachments to their initial opinions, or prejudices. The "anchorage" of individuals to their prejudices may disable reaching consensus and cause disagreement in a social influence network. Read More

Motivated by problems arising in magnetic drug targeting, we propose to generate an almost constant Kelvin (magnetic) force in a target subdomain, moving along a prescribed trajectory. This is carried out by solving a minimization problem with a tracking type cost functional. The magnetic sources are assumed to be dipoles and the control variables are the magnetic field intensity, the source location and the magnetic field direction. Read More

We investigate the Robust Multiperiod Network Design Problem, a generalization of the classical Capacitated Network Design Problem that additionally considers multiple design periods and provides solutions protected against traffic uncertainty. Given the intrinsic difficulty of the problem, which proves challenging even for state-of-the art commercial solvers, we propose a hybrid primal heuristic based on the combination of ant colony optimization and an exact large neighborhood search. Computational experiments on a set of realistic instances from the SNDlib show that our heuristic can find solutions of extremely good quality with low optimality gap. Read More

In this paper, we mathematically model the multi-hop Peer-to-Peer (P2P) ride-matching problem as a binary program. We formulate this problem as a many-to-many problem in which a rider can travel by transferring between multiple drivers, and a driver can carry multiple riders. We propose a pre-processing procedure to reduce the size of the problem, and devise a decomposition algorithm to solve the original ride-matching problem to optimality by means of solving multiple smaller problems. Read More

We study stochastic convex optimization subjected to linear equality constraints. Traditional Stochastic Alternating Direction Method of Multipliers and its Nesterov's acceleration scheme can only achieve ergodic O(1/\sqrt{K}) convergence rates, where K is the number of iteration. By introducing Variance Reduction (VR) techniques, the convergence rates improve to ergodic O(1/K). Read More

We consider a nonlinear optimal control problem governed by a nonlinear evolution inclusion and depending on a parameter $\lambda$. First we examine the dynamics of the problem and establish the nonemptiness of the solution set and produce continuous selections of the solution multifunction $\xi\mapsto S(\xi)$ ($\xi$ being the initial condition). These results are proved in a very general framework and are of independent interest as results about evolution inclusions. Read More

An alternative formulation for the controllability problem of single input linear positive systems is presented. Driven by many industrial applications, this formulations focuses on the case where the region of interest is only a subset of positive orthant rather than the entire positive orthant. To this end, we discuss the geometry of controllable subsets and develop numerically verifiable conditions for polyhedrality of controllable subsets. Read More

We introduce and study a geometric acceleration for the Douglas--Rachford method called the Circumcentered-Douglas-Rachford method. This method iterates by taking the intersection of bisectors of reflection steps for solving certain classes of feasibility problems. The convergence analysis is established for best approximation problems involving two (affine) subspaces and both our theoretical and numerical results compare favorably to the original Douglas-Rachford method. Read More

Base station cooperation (BSC) has recently arisen as a promising way to increase the capacity of a wireless network. Implementing BSC adds a new design dimension to the classical wireless network design problem: how to define the subset of base stations (clusters) that coordinate to serve a user. Though the problem of forming clusters has been extensively discussed from a technical point of view, there is still a lack of effective optimization models for its representation and algorithms for its solution. Read More

We revisit the mathematical models for wireless network jamming introduced by Commander et al.: we first point out the strong connections with classical wireless network design and then we propose a new model based on the explicit use of signal-to-interference quantities. Moreover, to address the intrinsic uncertain nature of the jamming problem and tackle the peculiar right-hand-side (RHS) uncertainty of the problem, we propose an original robust cutting-plane algorithm drawing inspiration from Multiband Robust Optimization. Read More

We consider the problem of minimising an inhomogeneous anisotropic elliptic functional in a class of closed $m$~dimensional subsets of~$\mathbf{R}^n$ which is stable under taking smooth deformations homotopic to identity and under local Hausdorff limits. We~prove that the minimiser exists inside the class and is an $(\mathscr H^m,m)$ rectifiable set in the sense of Federer. The class of competitors encodes a notion of spanning a~boundary. Read More

Strategic decisions to develop a mineral deposit are subject to geological uncertainty, due to the sparsity of drill core samples. The selection of metallurgical equipment is especially critical, since it restricts the processing options that are available to different ore blocks, even as the nature of the deposit is still highly uncertain. Current approaches for long-term mine planning are successful at addressing geological uncertainty, but do not adequately represent alternate modes of operation for the mineral processing plant, nor do they provide sufficient guidance for developing processing options. Read More

The nonnegative and positive semidefinite (PSD-) ranks are closely connected to the nonnegative and positive semidefinite extension complexities of a polytope, which are the minimal dimensions of linear and SDP programs which represent this polytope. Though some exponential lower bounds on the nonnegative and PSD- ranks has recently been proved for the slack matrices of some particular polytopes, there are still no tight bounds for these quantities. We explore some existing bounds on the PSD-rank and prove that they cannot give exponential lower bounds on the extension complexity. Read More

We study two generalizations of fractional variational problems by considering higher-order derivatives and a state time delay. We prove a higher-order integration by parts formula involving a Caputo fractional derivative of variable order and we establish several necessary optimality conditions for functionals containing a combined Caputo derivative of variable fractional order. Because the endpoint is considered to be free, we also deduce associated transversality conditions. Read More

In order to better understand micromechanical phenomena such as viscoelasticity and plasticity, the thermomechanical viewpoint is of prime importance but requires calorimetric measurements to be performed during a deformation process. Infrared imaging is commonly used to this aim but does not provide direct access to the intrinsic volumetric Thermomechanical Heat Sources (THS). An inversemethod is needed to convert temperature fields in the former quantity. Read More

Given a conjunctive Boolean network (CBN) with $n$ state-variables, we consider the problem of finding a minimal set of state-variables to directly affect with an input so that the resulting conjunctive Boolean control network (CBCN) is controllable. We give a necessary and sufficient condition for controllability of a CBCN; an $O(n^2)$-time algorithm for testing controllability; and prove that nonetheless the minimal controllability problem for CBNs is NP-hard. Read More

We study the boundary structure of closed convex cones, with a focus on facially dual complete (nice) cones. These cones form a proper subset of facially exposed convex cones, and they behave well in the context of duality theory for convex optimization. Using the well-known and very commonly used concept of tangent cones in nonlinear optimization, we introduce some new notions for exposure of faces of convex sets. Read More

In this paper, we study the problem of finding the Euclidean distance to a convex cone generated by a set of discrete points in $\mathbb{R}^n_+$. In particular, we are interested in problems where the discrete points are the set of feasible solutions of some binary linear programming constraints. This problem has applications in manufacturing, machine learning, clustering, pattern recognition, and statistics. Read More

Using polynomial interpolation, along with structural properties of the family of positive real rational functions, we here show that a set of m nodes in the open left half of the complex plane, can always be mapped to anywhere in the complex plane by rational positive real functions whose degree is at most m. Moreover, we introduce an easy-to-find parametrization in $R^{2m+3}$ of a large subset of these interpolating functions. Read More

Appropriate selection of the penalty parameter is crucial to obtaining good performance from the Alternating Direction Method of Multipliers (ADMM). While analytic results for optimal selection of this parameter are very limited, there is a heuristic method that appears to be relatively successful in a number of different problems. The contribution of this paper is to demonstrate that their is a potentially serious flaw in this heuristic approach, and to propose a modification that at least partially addresses it. Read More

Multi stage stochastic programs arise in many applications from engineering whenever a set of inventories or stocks has to be valued. Such is the case in seasonal storage valuation of a set of cascaded reservoir chains in hydro management. A popular method is Stochastic Dual Dynamic Programming (SDDP), especially when the dimensionality of the problem is large and Dynamic programming no longer an option. Read More

We extend a multi-agent convex-optimization algorithm named Newton-Raphson consensus to a network scenario that involves directed, asynchronous and lossy communications. We theoretically analyze the stability and performance of the algorithm and, in particular, provide sufficient conditions that guarantee local exponential convergence of the node-states to the global centralized minimizer even in presence of packet losses. Finally, we complement the theoretical analysis with numerical simulations that compare the performance of the Newton-Raphson consensus against asynchronous implementations of distributed subgradient methods on real datasets extracted from open-source databases. Read More