Mathematics - Optimization and Control Publications (50)


Mathematics - Optimization and Control Publications

A major challenge faced in the design of large-scale cyber-physical systems, such as power systems, the Internet of Things or intelligent transportation systems, is that traditional distributed optimal control methods do not scale gracefully, neither in controller synthesis nor in controller implementation, to systems composed of millions, billions or even trillions of interacting subsystems. This paper shows that this challenge can now be addressed by leveraging the recently introduced System Level Approach (SLA) to controller synthesis. In particular, in the context of the SLA, we define suitable notions of separability for control objective functions and system constraints such that the global optimization problem (or iterate update problems of a distributed optimization algorithm) can be decomposed into parallel subproblems. Read More

In this paper, we extend the optimal securitization model of Pag\`es [41] and Possama\"i and Pag\`es [42] between an investor and a bank to a setting allowing both moral hazard and adverse selection. Following the recent approach to these problems of Cvitani\'c, Wan and Yang [12], we characterize explicitly and rigorously the so-called credible set of the continuation and temptation values of the bank, and obtain the value function of the investor as well as the optimal contracts through a recursive system of first-order variational inequalities with gradient constraints. We provide a detailed discussion of the properties of the optimal menu of contracts. Read More

The use of game theory in the design and control of large scale networked systems is becoming increasingly more important. In this paper, we follow this approach to efficiently solve a network allocation problem motivated by peer-to- peer cloud storage models as alternatives to classical centralized cloud storage services. To this aim, we propose an allocation algorithm that allows the units to use their neighbors to store a back up of their data. Read More

In this short note we consider an unconventional overdetermined problem for the torsion function: let $n\geq 2$ and $\Omega$ be a bounded open set in $\mathbb{R}^n$ whose torsion function $u$ (i.e. the solution to $\Delta u=-1$ in $\Omega$, vanishing on $\partial\Omega$) satisfies the following property: $\sqrt{M-u(x)}$ is convex, where $M=\max\{u(x)\,:\,x\in\overline\Omega\}$. Read More

Using the T-algebra machinery we show that, up to linear isomorphism, the only strictly convex homogeneous cones in $\Re^n$ with $n \geq 3$ are the 2-cones, also known as Lorentz cones or second order cones. In particular, this shows that the p-cones are not homogeneous when $p\neq 2$, $1 < p <\infty$ and $n\geq 3$, thus answering a problem proposed by Gowda and Trott. Read More

For population systems modeled by age-structured hyperbolic partial differential equations (PDEs) that are bilinear in the input and evolve with a positive-valued infinite-dimensional state, global stabilization of constant yield set points was achieved in prior work. Seasonal demands in biotechnological production processes give rise to time-varying yield references. For the proposed control objective aiming at a global attractivity of desired yield trajectories, multiple non-standard features have to be considered: a non-local boundary condition, a PDE state restricted to the positive orthant of the function space and arbitrary restrictive but physically meaningful input constraints. Read More

In this article, we consider the problem of optimal design of a compliant structure under a volume constraint, within the framework of linear elasticity. We introduce the pure displacement and the dual mixed formulations of the linear elasticity problem and we compute the volumetric expressions of the shape gradient of the compliance by means of the velocity method. A preliminary qualitative comparison of the two expressions of the shape gradient is performed through some numerical simulations using the Boundary Variation Algorithm. Read More

This paper studies the approximate and null controllability for impulse controlled systems of heat equations coupled by a pair (A,B) of constant matrices. We present a necessary and sufficient condition for the approximate controllability, which is exactly Kalman's controllability rank condition of (A,B). We prove that when such a system is approximately controllable, the approximate controllability over an interval [0,T] can be realized by adding controls at arbitrary n different control instants 0<\tau_1<\tau_2<\cdots<\tau_nRead More

In this paper, we propose an adaptive framework for the variable power of the fractional least mean square (FLMS) algorithm. The proposed algorithm named as robust variable power FLMS (RVP-FLMS) dynamically adapts the fractional power of the FLMS to achieve high convergence rate with low steady state error. For the evaluation purpose, the problems of system identification and channel equalization are considered. Read More

Optical switches have been drawing attention due to their large data bandwidth and low power consumption. However, scheduling policies need to account for the schedule reconfiguration delay of optical switches to achieve good performance. The Adaptive MaxWeight policy achieves optimal throughput for switches with nonzero reconfiguration delay, and has been shown in simulation to have good delay performance. Read More

This paper is concerned with the behavior of the ergodic constant associated with convex and superlinear Hamilton-Jacobi equation in a periodic environment which is perturbed either by medium with increasing period or by a random Bernoulli perturbation with small parameter. We find a first order Taylor's expansion for the ergodic constant which depends on the dimension d. When d = 1 the first order term is non trivial, while for all d $\ge$ 2 it is always 0. Read More

We present a matrix-factorization algorithm that scales to input matrices with both huge number of rows and columns. Learned factors may be sparse or dense and/or non-negative, which makes our algorithm suitable for dictionary learning, sparse component analysis, and non-negative matrix factorization. Our algorithm streams matrix columns while subsampling them to iteratively learn the matrix factors. Read More

This paper deals with designing a robust fixed-order dynamic output feedback controller for fractional order linear time invariant (FO-LTI) systems with positive real uncertainty by means of linear matrix inequalities (LMIs). Our purpose is to design a low-order controller that stabilizes the fractional order linear system in the presence of model uncertainties. No limitative constraint on the state space matrices of the uncertain system is assumed in the design procedure. Read More

In this work we are interested in nonlinear symmetric cone problems (NSCPs), which contain as special cases nonlinear semidefinite programming, nonlinear second order cone programming and the classical nonlinear programming problems. We explore the possibility of reformulating NSCPs as common nonlinear programs (NLPs), with the aid of squared slack variables. Through this connection, we show how to obtain second order optimality conditions for NSCPs in an easy manner, thus bypassing a number of difficulties associated to the usual variational analytical approach. Read More

In this paper we investigate in a Hilbert space setting a second order dynamical system of the form $$\ddot{x}(t)+\g(t)\dot{x}(t)+x(t)-J_{\lambda(t) A}\big(x(t)-\lambda(t) D(x(t))-\lambda(t)\beta(t)B(x(t))\big)=0,$$ where $A:{\mathcal H}\toto{\mathcal H}$ is a maximal monotone operator, $J_{\lambda(t) A}:{\mathcal H}\To{\mathcal H}$ is the resolvent operator of $\lambda(t)A$ and $D,B: {\mathcal H}\rightarrow{\mathcal H}$ are cocoercive operators, and $\lambda,\beta :[0,+\infty)\rightarrow (0,+\infty)$, and $\gamma:[0,+\infty)\rightarrow (0,+\infty)$ are step size, penalization and, respectively, damping functions, all depending on time. We show the existence and uniqueness of strong global solutions in the framework of the Cauchy-Lipschitz-Picard Theorem and prove ergodic asymptotic convergence for the generated trajectories to a zero of the operator $A+D+{N}_C,$ where $C=\zer B$ and $N_C$ denotes the normal cone operator of $C$. To this end we use Lyapunov analysis combined with the celebrated Opial Lemma in its ergodic continuous version. Read More

This paper is devoted to a simple and new proof on the optimal finite control time for general linear coupled hyperbolic system by using boundary feedback on one side. The feedback control law is designed by first using a Volterra transformation of the second kind and then using an invertible Fredholm transformation. Both existence and invertibility of the transformations are easily obtained. Read More

This paper discusses the properties of certain risk estimators recently proposed to choose regularization parameters in ill-posed problems. A simple approach is Stein's unbiased risk estimator (SURE), which estimates the risk in the data space, while a recent modification (GSURE) estimates the risk in the space of the unknown variable. It seems intuitive that the latter is more appropriate for ill-posed problems, since the properties in the data space do not tell much about the quality of the reconstruction. Read More

We present complexity and numerical results for a new asynchronous parallel algorithmic method for the minimization of the sum of a smooth nonconvex function and a convex nonsmooth regularizer, subject to both convex and nonconvex constraints. The proposed method hinges on successive convex approximation techniques and a novel probabilistic model that captures key elements of modern computational architectures and asynchronous implementations in a more faithful way than state-of-the-art models. In the companion paper we provided a detailed description on the probabilistic model and gave convergence results for a diminishing stepsize version of our method. Read More

The aim of this work is to study, from an intrinsic and geometric point of view, second-order constrained variational problems on Lie algebroids, that is, optimization problems defined by a cost functional which depends on higher-order derivatives of admissible curves on a Lie algebroid. Extending the classical Skinner and Rusk formalism for the mechanics in the context of Lie algebroids, for second-order constrained mechanical systems, we derive the corresponding dynamical equations. We find a symplectic Lie subalgebroid where, under some mild regularity conditions, the second-order constrained variational problem, seen as a presymplectic Hamiltonian system, has a unique solution. Read More

Optimal control problems of nonholonomically constrained mechanical systems can be understood as constrained second order variational problems. A geometric interpretation of this relationship relies on constrained variational calculus for mechanics defined on a skew-symmetric algebroid. This brief communication attempts to study how this geometric structure allows us to describe in a simplified way the dynamics of the optimal control for nonholonomic mechanical systems as solutions of constrained second order variational problems, and, under some mild regularity conditions, how the dynamics of the optimal control problem is determined by a Hamiltonian system on the cotangent bundle of a skew-symmetric algebroid. Read More

The backpressure algorithm has been widely used as a distributed solution to the problem of joint rate control and routing in multi-hop data networks. By controlling a parameter $V$ in the algorithm, the backpressure algorithm can achieve an arbitrarily small utility optimality gap. However, this in turn brings in a large queue length at each node and hence causes large network delay. Read More

A bilevel hierarchical clustering model is commonly used in designing optimal multicast networks. In this paper we will consider two different formulations of the bilevel hierarchical clustering problem -- a discrete optimization problem which can be shown to be NP-hard. Our approach is to reformulate the problem as a continuous optimization problem by making some relaxations on the discreteness conditions. Read More

We consider the theoretical properties of a model which encompasses bi-partite matching under transferable utility on the one hand, and hedonic pricing on the other. This framework is intimately connected to tripartite matching problems (known as multi-marginal optimal transport problems in the mathematical literature). We exploit this relationship in two ways; first, we show that a known structural result from multi-marginal optimal transport can be used to establish an upper bound on the dimension of the support of stable matchings. Read More

There are tradeoffs between current sharing among distributed resources and DC bus voltage stability when conventional droop control is used in DC microgrids. As current sharing approaches the setpoint, bus voltage deviation increases. Previous studies have suggested using secondary control utilizing linear controllers to overcome drawbacks of droop control. Read More

Though distribution system operators have been adding more sensors to their networks, they still often lack an accurate real-time picture of the behavior of distributed energy resources such as demand responsive electric loads and residential solar generation. Such information could improve system reliability, economic efficiency, and environmental impact. Rather than installing additional, costly sensing and communication infrastructure to obtain additional real-time information, it may be possible to use existing sensing capabilities and leverage knowledge about the system to reduce the need for new infrastructure. Read More

This book addresses the scientific domains of operations research, information science and statistics with a focus on engineering applications. The purpose of this book is to report on the implications of the loop equations formulation of the state estimation procedure of the network systems, for the purpose of the implementation of Decision Support (DS) systems for the operational control of the network systems. In general an operational DS comprises a series of standalone applications from which the mathematical modeling and simulation of the distribution systems and the managing of the uncertainty in the decision-making process are essential in order to obtain efficient control and monitoring of the distribution systems. Read More

Dual spectral computed tomography (DSCT) can achieve energy- and material-selective images, and has a superior distinguishability of some materials than conventional single spectral computed tomography (SSCT). However, the decomposition process is illposed, which is sensitive with noise, thus the quality of decomposed images are usually degraded, especially the signal-to-noise ratio (SNR) is much lower than single spectra based directly reconstructions. In this work, we first establish a local linear relationship between dual spectra based decomposed results and single spectra based directly reconstructed images. Read More

Pairwise comparison matrices, a method for preference modelling and quantification in multi-attribute decision making and ranking problems, are naturally extended to the incomplete case, offering a wider range of applicability. The weighting problem is to find a weight vector that reflects the decision maker's preferences is as well as possible. The logarithmic least squares problem has a unique and simply computable solution. Read More

Distributionally robust stochastic optimization (DRSO) is a framework for decision-making problems under certainty, which finds solutions that perform well for a chosen set of probability distributions. Many different approaches for specifying a set of distributions have been proposed. The choice matters, because it affects the results, and the relative performance of different choices depend on the characteristics of the problems. Read More

Differentiable systems in this paper means systems of equations that are described by differentiable real functions in real matrix variables. This paper proposes algorithms for finding minimal rank solutions to such systems over (arbitrary and/or several structured) matrices by using the Levenberg-Marquardt method (LM-method) for solving least squares problems. We then apply these algorithms to solve several engineering problems such as the low-rank matrix completion problem and the low-dimensional Euclidean embedding one. Read More

Multi-stage stochastic linear programs (MSLPs) are notoriously hard to solve in general. Linear decision rules (LDRs) yield an approximation of an MSLP by restricting the decisions at each stage to be an affine function of the observed uncertain parameters. Finding an optimal LDR is a static optimization problem that provides an upper bound on the optimal value of the MSLP, and, under certain assumptions, can be formulated as an explicit linear program. Read More

When the objective function is not locally Lipschitz, constraint qualifications are no longer sufficient for Karush-Kuhn-Tucker (KKT) conditions to hold at a local minimizer, let alone ensuring an exact penalization. In this paper, we extend quasi-normality and relaxed constant positive linear dependence (RCPLD) condition to allow the non-Lipschitzness of the objective function and show that they are sufficient for KKT conditions to be necessary for optimality. Moreover, we derive exact penalization results for the following two special cases. Read More

In this paper, we are concerned with the null controllability of a linear population dynamics cascade systems (or the so-called prey-predator models) with two different dispersion coefficients which degenerate in the boundary and with one control force. We develop first a Carleman type inequality for its adjoint system, and then an observability inequality which allows us to deduce the existence of a control acting on a subset of the space domain which steers both populations of a certain age to extinction in a finite time. Read More

The goal of scenario reduction is to approximate a given discrete distribution with another discrete distribution that has fewer atoms. We distinguish continuous scenario reduction, where the new atoms may be chosen freely, and discrete scenario reduction, where the new atoms must be chosen from among the existing ones. Using the Wasserstein distance as measure of proximity between distributions, we identify those $n$-point distributions on the unit ball that are least susceptible to scenario reduction, i. Read More

Modeling decision-dependent scenario probabilities in stochastic programs is difficult and typically leads to large and highly non-linear MINLPs that are very difficult to solve. In this paper, we develop a new approach to obtain a compact representation of the recourse function using a set of binary decision diagrams (BDDs) that encode a nested cover of the scenario set. The resulting BDDs can then be used to efficiently characterize the decision-dependent scenario probabilities by a set of linear inequalities, which essentially factorizes the probability distribution and thus allows to reformulate the entire problem as a small mixed-integer linear program. Read More

Existing approaches to online convex optimization (OCO) make sequential one-slot-ahead decisions, which lead to (possibly adversarial) losses that drive subsequent decision iterates. Their performance is evaluated by the so-called regret that measures the difference of losses between the online solution and the best yet fixed overall solution in hindsight. The present paper deals with online convex optimization involving adversarial loss functions and adversarial constraints, where the constraints are revealed after making decisions, and can be tolerable to instantaneous violations but must be satisfied in the long term. Read More

We present a new class of decentralized first-order methods for nonsmooth and stochastic optimization problems defined over multiagent networks. Considering that communication is a major bottleneck in decentralized optimization, our main goal in this paper is to develop algorithmic frameworks which can significantly reduce the number of inter-node communications. We first propose a decentralized primal-dual method which can find an $\epsilon$-solution both in terms of functional optimality gap and feasibility residual in $O(1/\epsilon)$ inter-node communication rounds when the objective functions are convex and the local primal subproblems are solved exactly. Read More

Information is an inherent component of stochastic processes and to measure the distance between different stochastic processes it is often not sufficient to consider the distance of their laws. Instead, the information which accumulates over time and which is mathematically encoded by filtrations, has to be accounted for as well. The nested distance/ bicausal Wasserstein distance addresses this challenge. Read More

We define a regularized variant of the Dual Dynamic Programming algorithm called REDDP (REgularized Dual Dynamic Programming) to solve nonlinear dynamic programming equations. We extend the algorithm to solve nonlinear stochastic dynamic programming equations. The corresponding algorithm, called SDDP-REG, can be seen as an extension of a regularization of the Stochastic Dual Dynamic Programming (SDDP) algorithm recently introduced which was studied for linear problems only and with less general prox-centers. Read More

ADMM is a popular algorithm for solving convex optimization problems. Applying this algorithm to distributed consensus optimization problem results in a fully distributed iterative solution which relies on processing at the nodes and communication between neighbors. Local computations usually suffer from different types of errors, due to e. Read More

We consider multi-sensor fusion estimation for clustered sensor networks. Both sequential measurement fusion and state fusion estimation methods are presented. It is shown that the proposed sequential fusion estimation methods achieve the same performance as the batch fusion one, but are more convenient to deal with asynchronous or delayed data since they are able to handle the data that is available sequentially. Read More

Recent work by Nesterov and Stich showed that momentum can be used to accelerate the rate of convergence for block Gauss-Seidel in the setting where a fixed partitioning of the coordinates is chosen ahead of time. We show that this setting is too restrictive, constructing instances where breaking locality by running non-accelerated Gauss-Seidel with randomly sampled coordinates substantially outperforms accelerated Gauss-Seidel with any fixed partitioning. Motivated by this finding, we analyze the accelerated block Gauss-Seidel algorithm in the random coordinate sampling setting. Read More

Bound-to-Bound Data Collaboration (B2BDC) provides a natural framework for addressing both forward and inverse uncertainty quantification problems. In this approach, QOI (quantity of interest) models are constrained by related experimental observations with interval uncertainty. A collection of such models and observations is termed a dataset and carves out a feasible region in the parameter space. Read More

Using double-smoothing technique and stochastic mirror descent with inexact oracle we built an optimal algorithm (up to a multiplicative factor) for two-points gradient-free non-smooth stochastic convex programming. We investigate how much can be the level of noise (the nature of this noise isn't necessary stochastic) for the rate of convergence to be maintained (up to a multiplicative factor). Read More

This article gives necessary and sufficient conditions for the dual representation of Rockafellar in (Integrals which are convex functionals. II, Pacific J. Math. Read More

The Uzawa method is a method for solving constrained optimization problems, and is often used in computational contact mechanics. The simplicity of this method is an advantage, but its convergence is slow. This paper presents an accelerated variant of the Uzawa method. Read More

Resilience has become a key aspect in the design of contemporary infrastructure networks. This comes as a result of ever-increasing loads, limited physical capacity, and fast-growing levels of interconnectedness and complexity due to the recent technological advancements. The problem has motivated a considerable amount of research within the last few years, particularly focused on the dynamical aspects of network flows, complementing more classical static network flow optimization approaches. Read More

This paper studies an optimal control problem for a string of vehicles with safety requirements and finite-time specifications on the approach time to a target region. The problem is motivated by scenarios involving autonomous vehicles circulating on arterial roads with intelligent management at traffic intersections. We propose a provably correct distributed control algorithm that ensures that the vehicles satisfy the finite-time specifications under speed limits, acceleration saturation, and safety requirements. Read More

Phaseless super-resolution is the problem of recovering an unknown signal from measurements of the magnitudes of the low frequency Fourier transform of the signal. This problem arises in applications where measuring the phase, and making high-frequency measurements, are either too costly or altogether infeasible. The problem is especially challenging because it combines the difficult problems of phase retrieval and classical super-resolution Read More

In this work we study a multi-agent coordination problem in which agents are only able to communicate with each other intermittently through a cloud server. To reduce the amount of required communication, we develop a self-triggered algorithm that allows agents to communicate with the cloud only when necessary rather than at some fixed period. Unlike the vast majority of similar works that propose distributed event- and/or self-triggered control laws, this work doesn't assume agents can be "listening" continuously. Read More