Nonlinear optimization filters for stochastic time‐varying convex optimization

• Published in: International journal of robust and nonlinear control Vol. 34; no. 12; pp. 8065 - 8089
• Main Authors: Simonetto, Andrea, Massioni, Paolo
• Format: Journal Article
• Language: English
• Published: Bognor Regis Wiley Subscription Services, Inc 01.08.2024; Wiley
• Subjects: Algorithms; Convexity; Design optimization; dissipativity; Extended Kalman filter; Filter design (mathematics); Mathematics; Nonlinear filters; Optimization and Control; stochastic Optimization; time‐varying Optimization

We look at a stochastic time‐varying optimization problem and we formulate online algorithms to find and track its optimizers in expectation. The algorithms are derived from the intuition that standard prediction and correction steps can be seen as a nonlinear dynamical system and a measurement equa...