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Robust-to-Dynamics Optimization

Amir Ali Ahmadi(a_a_a***at***princeton.edu)
Oktay Gunluk(gunluk***at***us.ibm.com)

Abstract: A robust-to-dynamics optimization (RDO) problem} is an optimization problem specified by two pieces of input: (i) a mathematical program (an objective function $f:\mathbb{R}^n\rightarrow\mathbb{R}$ and a feasible set $\Omega\subseteq\mathbb{R}^n$), and (ii) a dynamical system (a map $g:\mathbb{R}^n\rightarrow\mathbb{R}^n$). Its goal is to minimize $f$ over the set $\mathcal{S}\subseteq\Omega$ of initial conditions that forever remain in $\Omega$ under $g$. The focus of this paper is on the case where the mathematical program is a linear program and the dynamical system is either a known linear map, or an uncertain linear map that can change over time. In both cases, we study a converging sequence of polyhedral outer approximations and (lifted) spectrahedral inner approximations to $\mathcal{S}$. Our inner approximations are optimized with respect to the objective function $f$ and their semidefinite characterization---which has a semidefinite constraint of fixed size---is obtained by applying polar duality to convex sets that are invariant under (multiple) linear maps. We characterize three barriers that can stop convergence of the outer approximations to $\mathcal{S}$ from being finite. We prove that once these barriers are removed, our inner and outer approximating procedures find an optimal solution and a certificate of optimality for the RDO problem in a finite number of steps. Moreover, in the case where the dynamics are linear, we show that this phenomenon occurs in a number of steps that can be computed in time polynomial in the bit size of the input data. Our analysis also leads to a polynomial-time algorithm for RDO instances where the spectral radius of the linear map is bounded above by any constant less than one. Finally, in our concluding section, we propose a broader research agenda for studying optimization problems with dynamical systems constraints, of which RDO is a special case.

Keywords: Optimization in dynamical systems, semi-infinite linear programs, joint spectral radius, semidefinite programming-based approximations.

Category 1: Convex and Nonsmooth Optimization (Convex Optimization )

Category 2: Infinite Dimensional Optimization (Semi-infinite Programming )

Category 3: Robust Optimization

Citation:

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Entry Submitted: 05/09/2018
Entry Accepted: 05/09/2018
Entry Last Modified: 05/09/2018

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