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Optimization and Control (math.OC)

Fri, 07 Jul 2023

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1.Randomized subspace gradient method for constrained optimization

Authors:Ryota Nozawa, Pierre-Louis Poirion, Akiko Takeda

Abstract: We propose randomized subspace gradient methods for high-dimensional constrained optimization. While there have been similarly purposed studies on unconstrained optimization problems, there have been few on constrained optimization problems due to the difficulty of handling constraints. Our algorithms project gradient vectors onto a subspace that is a random projection of the subspace spanned by the gradients of active constraints. We determine the worst-case iteration complexity under linear and nonlinear settings and theoretically confirm that our algorithms can take a larger step size than their deterministic version. From the advantages of taking longer step and randomized subspace gradients, we show that our algorithms are especially efficient in view of time complexity when gradients cannot be obtained easily. Numerical experiments show that they tend to find better solutions because of the randomness of their subspace selection. Furthermore, they performs well in cases where gradients could not be obtained directly, and instead, gradients are obtained using directional derivatives.

2.Scylla: a matrix-free fix-propagate-and-project heuristic for mixed-integer optimization

Authors:Gioni Mexi, Mathieu Besançon, Suresh Bolusani, Antonia Chmiela, Ambros Gleixner, Alexander Hoen

Abstract: We introduce Scylla, a primal heuristic for mixed-integer optimization problems. It exploits approximate solves of the Linear Programming relaxations through the matrix-free Primal-Dual Hybrid Gradient algorithm with specialized termination criteria, and derives integer-feasible solutions via fix-and-propagate procedures and feasibility-pump-like updates to the objective function. Computational experiments show that the method is particularly suited to instances with hard linear relaxations.

3.Finite Elements with Switch Detection for Numerical Optimal Control of Nonsmooth Dynamical Systems with Set-Valued Step Functions

Authors:Armin Nurkanović, Anton Pozharskiy, Jonathan Frey, Moritz Diehl

Abstract: This paper develops high-accuracy methods for numerically solving optimal control problems subject to nonsmooth differential equations with set-valued step functions. A notable subclass of these systems are Filippov systems. The set-valued step functions are here written as the solution map of a linear program. Using the optimality conditions of this problem we rewrite the initial nonsmooth system into a equivalent dynamic complementarity systems (DCS). We extend the Finite Elements with Switch Detection (FESD) method [Nurkanovi\'c et al., 2022], initially developed for Filippov systems transformed via Stewart's reformulation into DCS [Stewart, 1990], to the class of nonsmooth systems with set-valued step functions. The key ideas are to start with a standard Runge-Kutta method for the obtained DCS and to let the integration step sizes to be degrees of freedom. Next, we introduce additional conditions to enable implicit but exact switch detection and to remove possible spurious degrees of freedom if no switches occur. The theoretical properties of the method are studied. Its favorable properties are illustrated on numerical simulation and optimal control examples. All methods introduced in this paper are implemented in the open-source software package NOSNOC.

4.Absolute value linear programming

Authors:Milan Hladík, David Hartman

Abstract: We deal with linear programming problems involving absolute values in their formulations, so that they are no more expressible as standard linear programs. The presence of absolute values causes the problems to be nonconvex and nonsmooth, so hard to solve. In this paper, we study fundamental properties on the topology and the geometric shape of the solution set, and also conditions for convexity, connectedness, boundedness and integrality of the vertices. Further, we address various complexity issues, showing that many basic questions are NP-hard to solve. We show that the feasible set is a (nonconvex) polyhedral set and, more importantly, every nonconvex polyhedral set can be described by means of absolute value constraints. We also provide a necessary and sufficient condition when a KKT point of a nonconvex quadratic programming reformulation solves the original problem.

5.Parallel drone scheduling vehicle routing problems with collective drones

Authors:Roberto Montemanni, Mauro Dell'Amico, Andrea Corsini

Abstract: We study last-mile delivery problems where trucks and drones collaborate to deliver goods to final customers. In particular, we focus on problem settings where either a single truck or a fleet with several homogeneous trucks work in parallel to drones, and drones have the capability of collaborating for delivering missions. This cooperative behaviour of the drones, which are able to connect to each other and work together for some delivery tasks, enhance their potential, since connected drone has increased lifting capabilities and can fly at higher speed, overcoming the main limitations of the setting where the drones can only work independently. In this work, we contribute a Constraint Programming model and a valid inequality for the version of the problem with one truck, namely the \emph{Parallel Drone Scheduling Traveling Salesman Problem with Collective Drones} and we introduce for the first time the variant with multiple trucks, called the \emph{Parallel Drone Scheduling Vehicle Routing Problem with Collective Drones}. For the latter variant, we propose two Constraint Programming models and a Mixed Integer Linear Programming model. An extensive experimental campaign leads to state-of-the-art results for the problem with one truck and some understanding of the presented models' behaviour on the version with multiple trucks. Some insights about future research are finally discussed.

6.The generalized Nash game proposed by Rosen

Authors:Carlos Calderón, John Cotrina

Abstract: We deal with the generalized Nash game proposed by Rosen, which is a game with strategy sets that are coupled across players through a shared constraint. A reduction to a classical game is shown, and as a consequence, Rosen's result can be deduced from the one given by Arrow and Debreu. We also establish necessary and sufficient conditions for a point to be a generalized Nash equilibrium employing the variational inequality approach. Finally, some existence results are given in the non-compact case under coerciveness conditions.

7.Time-dependent parameter identification in a Fokker-Planck equation based magnetization model of large ensembles of nanoparticles

Authors:Hannes Albers, Tobias Kluth

Abstract: In this article, we consider a model motivated by large ensembles of nanoparticles' magnetization dynamics using the Fokker-Planck equation and analyze the underlying parabolic PDE being defined on a smooth, compact manifold without boundary with respect to time-dependent parameter identification using regularization schemes. In the context of magnetic particle imaging, possible fields of application can be found including calibration procedures improved by time-dependent particle parameters and dynamic tracking of nanoparticle orientation. This results in reconstructing different parameters of interest, such as the applied magnetic field and the particles' easy axis. These problems are in particular addressed in the accompanied numerical study.

8.Absorbing games with irrational values

Authors:Miquel Oliu-Barton

Abstract: Can an absorbing game with rational data have an irrational limit value? Yes: In this note we provide the simplest examples where this phenomenon arises. That is, the following $3\times 3$ absorbing game \[ A = \begin{bmatrix} 1^* & 1^* & 2^* \\ 1^* & 2^* & 0\phantom{^*} \\ 2^* & 0\phantom{^*} & 1^* \end{bmatrix}, \] and a sequence of $2\times 2$ absorbing games whose limit values are $\sqrt{k}$, for all integer $k$. Finally, we conjecture that any algebraic number can be represented as the limit value of an absorbing game.

9.Accelerated Optimization Landscape of Linear-Quadratic Regulator

Authors:Lechen Feng, Yuan-Hua Ni

Abstract: Linear-quadratic regulator (LQR) is a landmark problem in the field of optimal control, which is the concern of this paper. Generally, LQR is classified into state-feedback LQR (SLQR) and output-feedback LQR (OLQR) based on whether the full state is obtained. It has been suggested in existing literature that both the SLQR and the OLQR could be viewed as \textit{constrained nonconvex matrix optimization} problems in which the only variable to be optimized is the feedback gain matrix. In this paper, we introduce a first-order accelerated optimization framework of handling the LQR problem, and give its convergence analysis for the cases of SLQR and OLQR, respectively. Specifically, a Lipschiz Hessian property of LQR performance criterion is presented, which turns out to be a crucial property for the application of modern optimization techniques. For the SLQR problem, a continuous-time hybrid dynamic system is introduced, whose solution trajectory is shown to converge exponentially to the optimal feedback gain with Nesterov-optimal order $1-\frac{1}{\sqrt{\kappa}}$ ($\kappa$ the condition number). Then, the symplectic Euler scheme is utilized to discretize the hybrid dynamic system, and a Nesterov-type method with a restarting rule is proposed that preserves the continuous-time convergence rate, i.e., the discretized algorithm admits the Nesterov-optimal convergence order. For the OLQR problem, a Hessian-free accelerated framework is proposed, which is a two-procedure method consisting of semiconvex function optimization and negative curvature exploitation. In a time $\mathcal{O}(\epsilon^{-7/4}\log(1/\epsilon))$, the method can find an $\epsilon$-stationary point of the performance criterion; this entails that the method improves upon the $\mathcal{O}(\epsilon^{-2})$ complexity of vanilla gradient descent. Moreover, our method provides the second-order guarantee of stationary point.

10.A second order dynamical system method for solving a maximal comonotone inclusion problem

Authors:Zengzhen Tan, Rong Hu, Yaping Fang

Abstract: In this paper a second order dynamical system model is proposed for computing a zero of a maximal comonotone operator in Hilbert spaces. Under mild conditions, we prove existence and uniqueness of a strong global solution of the proposed dynamical system. A proper tuning of the parameters can allow us to establish fast convergence properties of the trajectories generated by the dynamical system. The weak convergence of the trajectory to a zero of the maximal comonotone operator is also proved. Furthermore, a discrete version of the dynamical system is considered and convergence properties matching to that of the dynamical system are established under a same framework. Finally, the validity of the proposed dynamical system and its discrete version is demonstrated by two numerical examples.

11.Optimal Solutions for a Class of Set-Valued Evolution Problems

Authors:Stefano Bianchini, Alberto Bressan, Maria Teresa Chiri

Abstract: The paper is concerned with a class of optimization problems for moving sets $t\mapsto\Omega(t)\subset\mathbb{R}^2$, motivated by the control of invasive biological populations. Assuming that the initial contaminated set $\Omega_0$ is convex, we prove that a strategy is optimal if an only if at each given time $t\in [0,T]$ the control is active along the portion of the boundary $\partial \Omega(t)$ where the curvature is maximal. In particular, this implies that $\Omega(t)$ is convex for all $t\geq 0$. The proof relies on the analysis of a one-step constrained optimization problem, obtained by a time discretization.

12.Cascading Failures in the Global Financial System: A Dynamical Model

Authors:Leonardo Stella, Dario Bauso, Franco Blanchini, Patrizio Colaneri

Abstract: In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that underpins the financial interdependencies between different organizations constitutes the backbone of the financial system. A failure in one or more of these organizations can lead the propagation of the financial collapse onto other organizations in a domino effect. Paramount importance is therefore given to the mitigation of these failures. Motivated by the relevance of this problem and recent prominent events connected to it, we develop a framework that allows us to investigate under what conditions organizations remain healthy or are involved in the propagation of the failures in the network. The contribution of this paper is the following: i) we develop a dynamical model that describes the equity values of financial organizations and their evolution over time given an initial condition; ii) we characterize the equilibria for this model by proving the existence and uniqueness of these equilibria, and by providing an explicit expression for them; and iii) we provide a computational method via sign-space iteration to analyze the propagation of failures and the attractive equilibrium point.

13.Tikhonov regularized second-order plus first-order primal-dual dynamical systems with asymptotically vanishing damping for linear equality constrained convex optimization problems

Authors:Ting Ting Zhu, Rong Hu, Ya Ping Fang

Abstract: In this paper, in the setting of Hilbert spaces, we consider a Tikhonov regularized second-order plus first-order primal-dual dynamical system with asymptotically vanishing damping for a linear equality constrained convex optimization problem. The convergence properties of the proposed dynamical system depend heavily upon the choice of the Tikhonov regularization parameter. When the Tikhonov regularization parameter decreases rapidly to zero, we establish the fast convergence rates of the primal-dual gap, the objective function error, the feasibility measure, and the gradient norm of the objective function along the trajectory generated by the system. When the Tikhonov regularization parameter tends slowly to zero, we prove that the primal trajectory of the Tikhonov regularized dynamical system converges strongly to the minimal norm solution of the linear equality constrained convex optimization problem. Numerical experiments are performed to illustrate the efficiency of our approach.

14.On the Geometry and Refined Rate of Primal-Dual Hybrid Gradient for Linear Programming

Authors:Haihao Lu, Jinwen Yang

Abstract: We study the convergence behaviors of primal-dual hybrid gradient (PDHG) for solving linear programming (LP). PDHG is the base algorithm of a new general-purpose first-order method LP solver, PDLP, which aims to scale up LP by taking advantage of modern computing architectures. Despite its numerical success, the theoretical understanding of PDHG for LP is still very limited; the previous complexity result relies on the global Hoffman constant of the KKT system, which is known to be very loose and uninformative. In this work, we aim to develop a fundamental understanding of the convergence behaviors of PDHG for LP and to develop a refined complexity rate that does not rely on the global Hoffman constant. We show that there are two major stages of PDHG for LP: in Stage I, PDHG identifies active variables and the length of the first stage is driven by a certain quantity which measures how close the non-degeneracy part of the LP instance is to degeneracy; in Stage II, PDHG effectively solves a homogeneous linear inequality system, and the complexity of the second stage is driven by a well-behaved local sharpness constant of the system. This finding is closely related to the concept of partial smoothness in non-smooth optimization, and it is the first complexity result of finite time identification without the non-degeneracy assumption. An interesting implication of our results is that degeneracy itself does not slow down the convergence of PDHG for LP, but near-degeneracy does.

15.Bilateral boundary control of an input delayed 2-D reaction-diffusion equation

Authors:Dandan Guan, Yanmei Chen, Jie Qi, Linglong Du

Abstract: In this paper, a delay compensation design method based on PDE backstepping is developed for a two-dimensional reaction-diffusion partial differential equation (PDE) with bilateral input delays. The PDE is defined in a rectangular domain, and the bilateral control is imposed on a pair of opposite sides of the rectangle. To represent the delayed bilateral inputs, we introduce two 2-D transport PDEs that form a cascade system with the original PDE. A novel set of backstepping transformations is proposed for delay compensator design, including one Volterra integral transformation and two affine Volterra integral transformations. Unlike the kernel equation for 1-D PDE systems with delayed boundary input, the resulting kernel equations for the 2-D system have singular initial conditions governed by the Dirac Delta function. Consequently, the kernel solutions are written as a double trigonometric series with singularities. To address the challenge of stability analysis posed by the singularities, we prove a set of inequalities by using the Cauchy-Schwarz inequality, the 2-D Fourier series, and the Parseval's theorem. A numerical simulation illustrates the effectiveness of the proposed delay-compensation method.

16.Symmetry reduction and recovery of trajectories of optimal control problems via measure relaxations

Authors:Nicolas Augier, Didier Henrion, Milan Korda, Victor Magron

Abstract: We address the problem of symmetry reduction of optimal control problems under the action of a finite group from a measure relaxation viewpoint. We propose a method based on the moment-SOS aka Lasserre hierarchy which allows one to significantly reduce the computation time and memory requirements compared to the case without symmetry reduction. We show that the recovery of optimal trajectories boils down to solving a symmetric parametric polynomial system. Then we illustrate our method on the symmetric integrator and the time-optimal inversion of qubits.