Asymptotic convergence of constrained primal–dual dynamics

This paper studies the asymptotic convergence properties of the primal–dual dynamics designed for solving constrained concave optimization problems using classical notions from stability analysis. We motivate the need for this study by providing an example that rules out the possibility of employing...

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Published inSystems & control letters Vol. 87; no. C; pp. 10 - 15
Main Authors Cherukuri, Ashish, Mallada, Enrique, Cortés, Jorge
Format Journal Article
LanguageEnglish
Published Netherlands Elsevier B.V 01.01.2016
Elsevier
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Abstract This paper studies the asymptotic convergence properties of the primal–dual dynamics designed for solving constrained concave optimization problems using classical notions from stability analysis. We motivate the need for this study by providing an example that rules out the possibility of employing the invariance principle for hybrid automata to study asymptotic convergence. We understand the solutions of the primal–dual dynamics in the Caratheodory sense and characterize their existence, uniqueness, and continuity with respect to the initial condition. We use the invariance principle for discontinuous Caratheodory systems to establish that the primal–dual optimizers are globally asymptotically stable under the primal–dual dynamics and that each solution of the dynamics converges to an optimizer.
AbstractList This paper studies the asymptotic convergence properties of the primal–dual dynamics designed for solving constrained concave optimization problems using classical notions from stability analysis. We motivate the need for this study by providing an example that rules out the possibility of employing the invariance principle for hybrid automata to study asymptotic convergence. We understand the solutions of the primal–dual dynamics in the Caratheodory sense and characterize their existence, uniqueness, and continuity with respect to the initial condition. We use the invariance principle for discontinuous Caratheodory systems to establish that the primal–dual optimizers are globally asymptotically stable under the primal–dual dynamics and that each solution of the dynamics converges to an optimizer.
Author Mallada, Enrique
Cherukuri, Ashish
Cortés, Jorge
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  surname: Cortés
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  email: cortes@ucsd.edu
  organization: Department of Mechanical and Aerospace Engineering, University of California, San Diego, CA 92093, USA
BackLink https://www.osti.gov/biblio/1556180$$D View this record in Osti.gov
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Keywords Discontinuous dynamics
Primal–dual dynamics
Caratheodory solutions
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Constrained optimization
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Snippet This paper studies the asymptotic convergence properties of the primal–dual dynamics designed for solving constrained concave optimization problems using...
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SubjectTerms Caratheodory solutions
Constrained optimization
Discontinuous dynamics
Primal–dual dynamics
Saddle points
Title Asymptotic convergence of constrained primal–dual dynamics
URI https://dx.doi.org/10.1016/j.sysconle.2015.10.006
https://www.osti.gov/biblio/1556180
Volume 87
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