A hybrid steepest descent method for constrained convex optimization


Reference:
M. Gerard, B. De Schutter, and M. Verhaegen, "A hybrid steepest descent method for constrained convex optimization," Automatica, vol. 45, no. 2, pp. 525-531, Feb. 2009.

Abstract:
This paper describes a hybrid steepest descent method to decrease over time any given convex cost function while keeping the optimization variables into any given convex set. The method takes advantage of properties of hybrid systems to avoid the computation of projections or of a dual optimum. The convergence to a global optimum is analyzed using Lyapunov stability arguments. A discretized implementation and simulation results are presented and analyzed. This method is of practical interest to integrate real-time convex optimization into embedded controllers thanks to its implementation as a dynamical system, its simplicity, and its low computation cost.


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Bibtex entry:

@article{GerDeS:08-015,
        author={M. Gerard and B. {D}e Schutter and M. Verhaegen},
        title={A hybrid steepest descent method for constrained convex optimization},
        journal={Automatica},
        volume={45},
        number={2},
        pages={525--531},
        month=feb,
        year={2009},
        doi={10.1016/j.automatica.2008.08.018}
        }



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