Mathematics - Optimization and Control Publications (50)

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Mathematics - Optimization and Control Publications

We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an initial condition and view the problem as a stochastic control problem; we establish the corresponding dynamic programming principle. Read More


This paper, the second of a two-part series, presents a method for mean-field feedback stabilization of a swarm of agents on a finite state space whose time evolution is modeled as a continuous time Markov chain (CTMC). The resulting (mean-field) control problem is that of controlling a nonlinear system with desired global stability properties. We first prove that any probability distribution with a strongly connected support can be stabilized using time-invariant inputs. Read More


Let $G$ be a semimartingale, and $S$ its Snell envelope. Under the assumption that $S$ is of class (D) and $G$ is $special$, we show that the finite-variation part of $S$ is absolutely continuous with respect to the decreasing part of the finite-variation part of $G$. In the Markovian setting, this enables us to identify sufficient conditions for the value function of the optimal stopping problem to belong to the domain of an extended (martingale) generator of the underlying Markov process. Read More


We present in this paper a new algorithm for urban traffic light control with mixed traffic (communicating and non communicating vehicles) and mixed infrastructure (equipped and unequipped junctions). We call equipped junction here a junction with a traffic light signal (TLS) controlled by a road side unit (RSU). On such a junction, the RSU manifests its connectedness to equipped vehicles by broadcasting its communication address and geographical coordinates. Read More


In this paper we consider complex dynamical networks modeled by means of state space systems running in discrete time. We assume that the dependency structure of the variables within the (nonlinear) network equations is known and use directed graphs to represent this structure. The dependency structure also appears in the equations of a linearization of the network. Read More


Chemical reactions modeled by ordinary differential equations are finite-dimensional dissipative dynamical systems with multiple time-scales. They are numerically hard to tackle -- especially when they enter an optimal control problem as "infinite-dimensional" constraints. Since discretization of such problems usually results in high-dimensional nonlinear problems, model (order) reduction via slow manifold computation seems to be an attractive approach. Read More


Symmetric nonnegative matrix factorization (SymNMF) has important applications in data analytics problems such as document clustering, community detection and image segmentation. In this paper, we propose a novel nonconvex variable splitting method for solving SymNMF. The proposed algorithm is guaranteed to converge to the set of Karush-Kuhn-Tucker (KKT) points of the nonconvex SymNMF problem. Read More


In this paper, we study the controllability and stabilizability properties of the Kolmogorov forward equation of a continuous time Markov chain (CTMC) evolving on a finite state space, using the transition rates as the control parameters. Firstly, we prove small-time local and global controllability from and to strictly positive equilibrium configurations when the underlying graph is strongly connected. Secondly, we show that there always exists a locally exponentially stabilizing decentralized linear (density-)feedback law that takes zero valu at equilibrium and respects the graph structure, provided that the transition rates are allowed to be negative and the desired target density lies in the interior of the set of probability densities. Read More


In this paper we consider the reconstruction problem of photoacoustic tomography (PAT) with a flat observation surface. We develop a direct reconstruction method that employs regularization with wavelet sparsity constraints. To that end, we derive a wavelet-vaguelette decomposition (WVD) for the PAT forward operator and a corresponding explicit reconstruction formula in the case of exact data. Read More


We study a stochastic primal-dual method for constrained optimization over Riemannian manifolds with bounded sectional curvature. We prove non-asymptotic convergence to the optimal objective value. More precisely, for the class of hyperbolic manifolds, we establish a convergence rate that is related to the sectional curvature lower bound. Read More


In this work, we study a minimal time problem for a Partial Differential Equation of transport type, that arises in crowd models. The control is a Lipschitz vector field localized on a fixed control set $\omega$. We provide a complete answer for the minimal time problem. Read More


We study a deep matrix factorization problem. It takes as input a matrix $X$ obtained by multiplying $K$ matrices (called factors). Each factor is obtained by applying a fixed linear operator to a short vector of parameters satisfying a model (for instance sparsity, grouped sparsity, non-negativity, constraints defining a convolution network\ldots). Read More


A vital aspect in energy storage planning and operation is to accurately model its operational cost, which mainly comes from the battery cell degradation. Battery degradation can be viewed as a complex material fatigue process that based on stress cycles. Rainflow algorithm is a popular way for cycle identification in material fatigue process, and has been extensively used in battery degradation assessment. Read More


This paper builds on new results concerning the polytopic set of possible states of a linear discrete-time SISO system subject to bounded disturbances from measurements corrupted by bounded noise. We construct an algorithm which, for the special case of a plant with a lag, recursively updates these polytopic sets when new measurements arrive. In an example we use the algorithm to investigate how the complexity of the polytopes changes with time. Read More


We propose a new dynamic framework for finite player discrete strategy games. By utilizing tools from optimal transportation theory, we derive Fokker-Planck equations (FPEs) on finite graphs. Furthermore, we introduce an associated Best-Reply Markov process that models players' myopicity, greedy and uncertainty when making decisions. Read More


Poor diet and nutrition in the United States has immense financial and health costs, and development of new tools for diet planning could help families better balance their financial and temporal constraints with the quality of their diet and meals. This paper formulates a novel model for dietary planning that incorporates two types of temporal constraints (i.e. Read More


Particle filters are a popular and flexible class of numerical algorithms to solve a large class of nonlinear filtering problems. However, standard particle filters with importance weights have been shown to require a sample size that increases exponentially with the dimension D of the state space in order to achieve a certain performance, which precludes their use in very high-dimensional filtering problems. Here, we focus on the dynamic aspect of this curse of dimensionality (COD) in continuous time filtering, which is caused by the degeneracy of importance weights over time. Read More


We introduce the Suggest-and-Improve framework for general nonconvex quadratically constrained quadratic programs (QCQPs). Using this framework, we generalize a number of known methods and provide heuristics to get approximate solutions to QCQPs for which no specialized methods are available. We also introduce an open-source Python package QCQP, which implements the heuristics discussed in the paper. Read More


Motivated by economic dispatch and linearly-constrained resource allocation problems, this paper proposes a novel Distributed Approx-Newton algorithm that approximates the standard Newton optimization method. A main property of this distributed algorithm is that it only requires agents to exchange constant-size communication messages. The convergence of this algorithm is discussed and rigorously analyzed. Read More


When providing frequency regulation in a pay-for-performance market, batteries need to carefully balance the trade-off between following regulation signals and their degradation costs in real-time. Existing battery control strategies either do not consider mismatch penalties in pay-for-performance markets, or cannot accurately account for battery cycle aging mechanism during operation. This paper derives an online control policy that minimizes a battery owner's operating cost for providing frequency regulation in a pay-for-performance market. Read More


Newton method is one of the most powerful methods for finding solution of nonlinear equations. In its classical form it is applied for systems of $n$ equations with $n$ variables. However it can be modified for underdetermined equations (with $mRead More


Graph-theoretic tools and techniques have seen wide use in the multi-agent systems literature, and the unpredictable nature of some multi-agent communications has been successfully modeled using random communication graphs. Across both network control and network optimization, a common assumption is that the union of agents' communication graphs is connected across any finite interval of some prescribed length, and some convergence results explicitly depend upon this length. Despite the prevalence of this assumption and the prevalence of random graphs in studying multi-agent systems, to the best of our knowledge, there has not been a study dedicated to determining how many random graphs must be in a union before it is connected. Read More


Assuming that the absence of perturbations guarantees weak or strong convergence to a common fixed point, we study the behavior of perturbed products of an infinite family of nonexpansive operators. Our main result indicates that the convergence rate of unperturbed products is essentially preserved in the presence of perturbations. This, in particular, applies to the linear convergence rate of dynamic string averaging projection methods, which we establish here as well. Read More


To gain theoretical insight into the relationship between parking scarcity and congestion, we describe block-faces of curbside parking as a network of queues. Due to the nature of this network, canonical queueing network results are not available to us. We present a new kind of queueing network subject to customer rejection due to the lack of available servers. Read More


In this paper, we describe a new active-set algorithmic framework for minimizing a function over the simplex. The method is quite general and encompasses different active-set Frank-Wolfe variants. In particular, we analyze convergence (when using Armijo line search in the calculation of the stepsize) for the active-set versions of standard Frank-Wolfe, away-step Frank-Wolfe and pairwise Frank-Wolfe. Read More


Detecting attacks in control systems is an important aspect of designing secure and resilient control systems. Recently, a dynamic watermarking approach was proposed for detecting malicious sensor attacks for SISO LTI systems with partial state observations and MIMO LTI systems with a full rank input matrix and full state observations; however, these previous approaches cannot be applied to general LTI systems that are MIMO and have partial state observations. This paper designs a dynamic watermarking approach for detecting malicious sensor attacks for general LTI systems, and we provide a new set of asymptotic and statistical tests. Read More


Many problems in high-dimensional statistics and optimization involve minimization over nonconvex constraints-for instance, a rank constraint for a matrix estimation problem-but little is known about the theoretical properties of such optimization problems for a general nonconvex constraint set. In this paper we study the interplay between the geometric properties of the constraint set and the convergence behavior of gradient descent for minimization over this set. We develop the notion of local concavity coefficients of the constraint set, measuring the extent to which convexity is violated, which govern the behavior of projected gradient descent over this set. Read More


This paper concerns feedback stabilization of point vortex equilibria above an inclined thin plate and a three-plate configuration known as the Kasper Wing in the presence of an oncoming uniform flow. The flow is assumed to be potential and is modeled by the 2D incompressible Euler equations. Actuation has the form of blowing and suction localized on the main plate and is represented in terms of a sink-source singularity, whereas measurement of pressure across the plate serves as system output. Read More


Here, we introduce a numerical approach for a class of Fokker-Planck (FP) equations. These equations are the adjoint of the linearization of Hamilton-Jacobi (HJ) equations. Using this structure, we show how to transfer the properties of schemes for HJ equations to the FP equations. Read More


We develop a method to control discrete-time systems with constant but initially unknown parameters from linear temporal logic (LTL) specifications. We introduce the notions of (non-deterministic) parametric and adaptive transition systems and show how to use tools from formal methods to compute adaptive control strategies for finite systems. For infinite systems, we first compute abstractions in the form of parametric finite quotient transition systems and then apply the techniques for finite systems. Read More


In this paper we combine concepts from Riemannian Optimization and the theory of Sobolev gradients to derive a new conjugate gradient method for direct minimization of the Gross-Pitaevskii energy functional with rotation. The conservation of the number of particles in the system constraints the minimizers to lie on a Riemannian manifold corresponding to the unit $L^2$ norm. The idea developed here is to transform the original constrained optimization problem to an unconstrained problem on this (spherical) Riemannian manifold, so that faster minimization algorithms can be applied. Read More


In Model Predictive Control (MPC) the control input is computed by solving a constrained finite-time optimal control (CFTOC) problem at each sample in the control loop. The main computational effort is often spent on computing the search directions, which in MPC corresponds to solving unconstrained finite-time optimal control (UFTOC) problems. This is commonly performed using Riccati recursions or generic sparsity exploiting algorithms. Read More


This paper presents a systematic approach for computing local solutions to motion planning problems in non-convex environments using numerical optimal control techniques. It extends the use of state-of-the-art tools from numerical optimal control to problems typically solved using motion planners based on randomized or graph search. The general principle is to define a homotopy that perturbs, or preferably relaxes, the original problem to an easily solved problem. Read More


It is of practical significance to define the notion of a measure of quality of a control system, i.e., a quantitative extension of the classical notion of controllability. Read More


This paper is concerned with a linear fractional representation approach to the synthesis of linear coherent quantum controllers for a given linear quantum plant. The plant and controller represent open quantum harmonic oscillators and are modelled by linear quantum stochastic differential equations. The feedback interconnections between the plant and the controller are assumed to be established through quantum bosonic fields. Read More


Most cities in India do not have water distribution networks that provide water throughout the entire day. As a result, it is common for homes and apartment buildings to utilize water storage systems that are filled during a small window of time in the day when the water distribution network is active. However, these water storage systems do not have disinfection capabilities, and so long durations of storage (i. Read More


Observer design typically requires the observability of the underlying system, which may be hard to verify for nonlinear systems, while guaranteeing asymptotic convergence of errors, which may be insufficient in order to satisfy performance conditions in finite time. This paper develops a method to design Luenberger-type observers for nonlinear systems which guarantee the largest possible domain of attraction for the state estimation error regardless of the initialization of the system. The observer design procedure is posed as a two step problem. Read More


We describe and analyse Levenberg-Marquardt methods for solving systems of nonlinear equations. More specifically, we first propose an adaptive formula for the Levenberg-Marquardt parameter and analyse the local convergence of the method under H\"{o}lder metric subregularity. We then introduce a bounded version of the Levenberg-Marquardt parameter and analyse the local convergence of the modified method under the \L ojasiewicz gradient inequality. Read More


In this paper we introduce a new variant for the p-median facility location problem in which it is assumed that the exact position of the potential facilities is unknown. Instead, each of the facilities must belong to a convex region around their initial estimated positions. In this problem, two main decisions have to be made simultaneously: the determination of the potential facilities that must be opened to serve the demands of the customers and the location of the open facilities into their neighborhoods, at global minimum cost. Read More


We develop a feedback control method for networked epidemic spreading processes. In contrast to most prior works which consider mean field, open-loop control schemes, the present work develops a novel framework for feedback control of epidemic processes which leverages incomplete observations of the stochastic epidemic process in order to control the exact dynamics of the epidemic outbreak. We develop an observation model for the epidemic process, and demonstrate that if the set of observed nodes is sufficiently well structured, then the random variables which denote the process' infections are conditionally independent given the observations. Read More


With the recent surge of interest in UAVs for civilian services, the importance of developing tractable multi-agent analysis techniques that provide safety and performance guarantees have drastically increased. Hamilton-Jacobi (HJ) reachability has successfully provided these guarantees to small-scale systems and is flexible in terms of system dynamics. However, the exponential complexity scaling of HJ reachability with respect to system dimension prevents its direct application to larger-scale problems where the number of vehicles is greater than two. Read More


We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations has smooth solution. The aforementioned result is used to solve the optimal dividend and consumption problem. Read More


This article determines and characterizes the minimal number of actuators needed to ensure structural controllability of a linear system under structural alterations that can severe the connection between any two states. We assume that initially the system is structurally controllable with respect to a given set of controls, and propose an efficient system-synthesis mechanism to find the minimal number of additional actuators required for resilience of the system w.r. Read More


We consider the class of control systems where the differential equation, state and control system are described by polynomials. Given a set of trajectories and a class of Lagrangians, we are interested to find a Lagrangian in this class for which these trajectories are optimal. To model this inverse problem we use a relaxed version of Hamilton-Jacobi-Bellman optimality conditions, in the continuity of previous work in this vein. Read More


We discuss the applicability of classical control theory to problems in smart grids and smart cities. We use tools from iterated function systems to identify controllers with desirable properties. In particular, controllers are identified that can be used to design not only stable closed-loop systems, but also to regulate large-scale populations of agents in a predictable manner. Read More


We propose general computational procedures based on descriptor state-space realizations to compute coprime factorizations of rational matrices with minimum degree denominators. Enhanced recursive pole dislocation techniques are developed, which allow to successively place all poles of the factors into a given "good" domain of the complex plane. The resulting McMillan degree of the denominator factor is equal to the number of poles lying in the complementary "bad" region and therefore is minimal. Read More


We consider the problem of controlling the spatiotemporal probability distribution of a robotic swarm that evolves according to a reflected diffusion process, using the space- and time-dependent drift vector field parameter as the control variable. In contrast to previous work on control of the Fokker-Planck equation, a zero-flux boundary condition is imposed on the partial differential equation that governs the swarm probability distribution, and only bounded vector fields are considered to be admissible as control parameters. Under these constraints, we show that any initial probability distribution can be transported to a target probability distribution under certain assumptions on the regularity of the target distribution. Read More


Convex sparsity-promoting regularizations are ubiquitous in modern statistical learning. By construction, they yield solutions with few non-zero coefficients, which correspond to saturated constraints in the dual optimization formulation. Working set (WS) strategies are generic optimization techniques that consist in solving simpler problems that only consider a subset of constraints, whose indices form the WS. Read More


In this paper, we focus on applications in machine learning, optimization, and control that call for the resilient selection of a few elements, e.g. features, sensors, or leaders, against a number of adversarial denial-of-service attacks or failures. Read More