Convex optimization

About: Convex optimization is a research topic. Over the lifetime, 24906 publications have been published within this topic receiving 908795 citations. The topic is also known as: convex optimisation.

A proximal-based decomposition method for convex minimization problems

Abstract: This paper presents a decomposition method for solving convex minimization problems. At each iteration, the algorithm computes two proximal steps in the dual variables and one proximal step in the primal variables. We derive this algorithm from Rockafellar's proximal method of multipliers, which involves an augmented Lagrangian with an additional quadratic proximal term. The algorithm preserves the good features of the proximal method of multipliers, with the additional advantage that it leads to a decoupling of the constraints, and is thus suitable for parallel implementation. We allow for computing approximately the proximal minimization steps and we prove that under mild assumptions on the problem's data, the method is globally convergent and at a linear rate. The method is compared with alternating direction type methods and applied to the particular case of minimizing a convex function over a finite intersection of closed convex sets.

New variants of bundle methods

Abstract: In this paper we describe a number of new variants of bundle methods for nonsmooth unconstrained and constrained convex optimization, convex—concave games and variational inequalities. We outline the ideas underlying these methods and present rate-of-convergence estimates.

Living on the edge: phase transitions in convex programs with random data

Abstract: Recent research indicates that many convex optimization problems with random constraints exhibit a phase transition as the number of constraints increases. For example, this phenomenon emerges in the l_1 minimization method for identifying a sparse vector from random linear measurements. Indeed, the l_1 approach succeeds with high probability when the number of measurements exceeds a threshold that depends on the sparsity level; otherwise, it fails with high probability. This paper provides the first rigorous analysis that explains why phase transitions are ubiquitous in random convex optimization problems. It also describes tools for making reliable predictions about the quantitative aspects of the transition, including the location and the width of the transition region. These techniques apply to regularized linear inverse problems with random measurements, to demixing problems under a random incoherence model, and also to cone programs with random affine constraints. The applied results depend on foundational research in conic geometry. This paper introduces a summary parameter, called the statistical dimension, that canonically extends the dimension of a linear subspace to the class of convex cones. The main technical result demonstrates that the sequence of intrinsic volumes of a convex cone concentrates sharply around the statistical dimension. This fact leads to accurate bounds on the probability that a randomly rotated cone shares a ray with a fixed cone.

Dynamic Locomotion in the MIT Cheetah 3 Through Convex Model-Predictive Control

Abstract: This paper presents an implementation of model predictive control (MPC) to determine ground reaction forces for a torque-controlled quadruped robot. The robot dynamics are simplified to formulate the problem as convex optimization while still capturing the full 3D nature of the system. With the simplified model, ground reaction force planning problems are formulated for prediction horizons of up to 0.5 seconds, and are solved to optimality in under 1 ms at a rate of 20–30 Hz. Despite using a simplified model, the robot is capable of robust locomotion at a variety of speeds. Experimental results demonstrate control of gaits including stand, trot, flying-trot, pronk, bound, pace, a 3-legged gait, and a full 3D gallop. The robot achieved forward speeds of up to 3 m/s, lateral speeds up to 1 m/s, and angular speeds up to 180 deg/sec. Our approach is general enough to perform all these behaviors with the same set of gains and weights.

Strong and Weak Convexity of Sets and Functions

Abstract: In this paper we study two classes of sets, strongly and weakly convex sets. For each class we derive a series of properties which involve either the concept of supporting ball, an obvious extension of the concept of supporting hyperplane, or the normal cone to the set. We also study a class of functions, denoted ρ-convex, which satisfy for arbitrary points x1 and x2 and any value λ ∈ [0, 1] the classical inequality of convex functions up to a term ρ(1 − λ) λ‖x1 − x2‖2. Depending on the sign of the constant ρ the function is said to be strongly or weakly convex. We provide characteristic properties of this class of sets and we relate it to strongly and weakly convex sets via the epigraph and the level sets. Finally, we give three applications: a separation theorem, a sufficient condition for global optimum of a nonconvex programming problem, and a sufficient geometrical condition for a set to be a manifold.