Quantitative Sensitivity Bounds for Nonlinear Programming and Time-Varying Optimization

Inspired by classical sensitivity results for nonlinear optimization, we derive and discuss new quantitative bounds to characterize the solution map and dual variables of a parametrized nonlinear program. In particular, we derive explicit expressions for the local and global Lipschitz constants of t...

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Bibliographic Details
Published in:IEEE transactions on automatic control Vol. 67; no. 6; pp. 2829 - 2842
Main Authors: Subotic, Irina, Hauswirth, Adrian, Dorfler, Florian
Format: Journal Article
Language:English
Published: New York IEEE 01.06.2022
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects:
Algorithms
Asymptotic methods
Computational geometry
Convexity
Jacobian matrices
Nonlinear programming
online optimization
Optimization
Prediction algorithms
Programming
Robot sensing systems
Robotics
Sensitivity
Signal processing
Signal processing algorithms
Tracking
ISSN:0018-9286, 1558-2523
Online Access:Get full text
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Summary:Inspired by classical sensitivity results for nonlinear optimization, we derive and discuss new quantitative bounds to characterize the solution map and dual variables of a parametrized nonlinear program. In particular, we derive explicit expressions for the local and global Lipschitz constants of the solution map of nonconvex or convex optimization problems, respectively. Our results are geared towards the study of time-varying optimization problems, which are commonplace in various applications of online optimization, including power systems, robotics, signal processing, and more. In this context, our results can be used to bound the rate of change of the optimizer. To illustrate the use of our sensitivity bounds we generalize existing arguments to quantify the tracking performance of continuous-time, monotone running algorithms. Furthermore, we introduce a new continuous-time running algorithm for time-varying constrained optimization, which we model as a so-called perturbed sweeping process. For this discontinuous scheme we establish an explicit bound on the asymptotic solution tracking for a class of convex problems.
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ISSN:0018-9286
1558-2523
DOI:10.1109/TAC.2021.3093857