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Optimization and Control (math.OC)

Thu, 31 Aug 2023

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1.Optimal Stopping of BSDEs with Constrained Jumps and Related Zero-Sum Games

Authors:Magnus Perninge

Abstract: In this paper, we introduce a non-linear Snell envelope which at each time represents the maximal value that can be achieved by stopping a BSDE with constrained jumps. We establish the existence of the Snell envelope by employing a penalization technique and the primary challenge we encounter is demonstrating the regularity of the limit for the scheme. Additionally, we relate the Snell envelope to a finite horizon, zero-sum stochastic differential game, where one player controls a path-dependent stochastic system by invoking impulses, while the opponent is given the opportunity to stop the game prematurely. Importantly, by developing new techniques within the realm of control randomization, we demonstrate that the value of the game exists and is precisely characterized by our non-linear Snell envelope.

2.Interior point methods in optimal control problems of affine systems: Convergence results and solving algorithms

Authors:Paul Malisani IFPEN

Abstract: This paper presents an interior point method for pure-state and mixed-constrained optimal control problems for dynamics, mixed constraints, and cost function all affine in the control variable. This method relies on resolving a sequence of two-point boundary value problems of differential and algebraic equations. This paper establishes a convergence result for primal and dual variables of the optimal control problem. A primal and a primal-dual solving algorithm are presented, and a challenging numerical example is treated for illustration. Accepted for publication at SIAM SICON 2023

3.Investigating Sparse Reconfigurable Intelligent Surfaces (SRIS) via Maximum Power Transfer Efficiency Method Based on Convex Relaxation

Authors:Hans-Dieter Lang, Michel A. Nyffenegger, Heinz Mathis, Xingqi Zhang

Abstract: Reconfigurable intelligent surfaces (RISs) are widely considered to become an integral part of future wireless communication systems. Various methodologies exist to design such surfaces; however, most consider or require a very large number of tunable components. This not only raises system complexity, but also significantly increases power consumption. Sparse RISs (SRISs) consider using a smaller or even minimal number of tunable components to improve overall efficiency while maintaining sufficient RIS capability. The versatile semidefinite relaxation-based optimization method previously applied to transmit array antennas is adapted and applied accordingly, to evaluate the potential of different SRIS configurations. Because the relaxation is tight in all cases, the maximum possible performance is found reliably. Hence, with this approach, the trade-off between performance and sparseness of SRIS can be analyzed. Preliminary results show that even a much smaller number of reconfigurable elements, e.g. only 50%, can still have a significant impact.

4.On solving a rank regularized minimization problem via equivalent factorized column-sparse regularized models

Authors:Wenjing Li, Wei Bian, Kim-Chuan Toh

Abstract: Rank regularized minimization problem is an ideal model for the low-rank matrix completion/recovery problem. The matrix factorization approach can transform the high-dimensional rank regularized problem to a low-dimensional factorized column-sparse regularized problem. The latter can greatly facilitate fast computations in applicable algorithms, but needs to overcome the simultaneous non-convexity of the loss and regularization functions. In this paper, we consider the factorized column-sparse regularized model. Firstly, we optimize this model with bound constraints, and establish a certain equivalence between the optimized factorization problem and rank regularized problem. Further, we strengthen the optimality condition for stationary points of the factorization problem and define the notion of strong stationary point. Moreover, we establish the equivalence between the factorization problem and its a nonconvex relaxation in the sense of global minimizers and strong stationary points. To solve the factorization problem, we design two types of algorithms and give an adaptive method to reduce their computation. The first algorithm is from the relaxation point of view and its iterates own some properties from global minimizers of the factorization problem after finite iterations. We give some analysis on the convergence of its iterates to the strong stationary point. The second algorithm is designed for directly solving the factorization problem. We improve the PALM algorithm introduced by Bolte et al. (Math Program Ser A 146:459-494, 2014) for the factorization problem and give its improved convergence results. Finally, we conduct numerical experiments to show the promising performance of the proposed model and algorithms for low-rank matrix completion.

5.An Efficient Framework for Global Non-Convex Polynomial Optimization over the Hypercube

Authors:Pierre-David Letourneau, Dalton Jones, Matthew Morse, M. Harper Langston

Abstract: We present a novel efficient theoretical and numerical framework for solving global non-convex polynomial optimization problems. We analytically demonstrate that such problems can be efficiently reformulated using a non-linear objective over a convex set; further, these reformulated problems possess no spurious local minima (i.e., every local minimum is a global minimum). We introduce an algorithm for solving these resulting problems using the augmented Lagrangian and the method of Burer and Monteiro. We show through numerical experiments that polynomial scaling in dimension and degree is achievable for computing the optimal value and location of previously intractable global polynomial optimization problems in high dimension.

6.Moreau Envelope ADMM for Decentralized Weakly Convex Optimization

Authors:Reza Mirzaeifard, Naveen K. D. Venkategowda, Alexander Jung, Stefan Werner

Abstract: This paper proposes a proximal variant of the alternating direction method of multipliers (ADMM) for distributed optimization. Although the current versions of ADMM algorithm provide promising numerical results in producing solutions that are close to optimal for many convex and non-convex optimization problems, it remains unclear if they can converge to a stationary point for weakly convex and locally non-smooth functions. Through our analysis using the Moreau envelope function, we demonstrate that MADM can indeed converge to a stationary point under mild conditions. Our analysis also includes computing the bounds on the amount of change in the dual variable update step by relating the gradient of the Moreau envelope function to the proximal function. Furthermore, the results of our numerical experiments indicate that our method is faster and more robust than widely-used approaches.

7.A Divide and Conquer Approximation Algorithm for Partitioning Rectangles

Authors:Reyhaneh Mohammadi, Mehdi Behroozi

Abstract: Given a rectangle $R$ with area $A$ and a set of areas $L=\{A_1,...,A_n\}$ with $\sum_{i=1}^n A_i = A$, we consider the problem of partitioning $R$ into $n$ sub-regions $R_1,...,R_n$ with areas $A_1,...,A_n$ in a way that the total perimeter of all sub-regions is minimized. The goal is to create square-like sub-regions, which are often more desired. We propose a divide and conquer algorithm for this problem that finds factor $1.2$--approximate solutions in $\mathcal{O}(n\log n)$ time.