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.

Portfolio optimization with linear and fixed transaction costs

Abstract: We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shortfall probabilities are efficiently handled by convex optimization methods. For such problems, the globally optimal portfolio can be computed very rapidly. Portfolio optimization problems with transaction costs that include a fixed fee, or discount breakpoints, cannot be directly solved by convex optimization. We describe a relaxation method which yields an easily computable upper bound via convex optimization. We also describe a heuristic method for finding a suboptimal portfolio, which is based on solving a small number of convex optimization problems (and hence can be done efficiently). Thus, we produce a suboptimal solution, and also an upper bound on the optimal solution. Numerical experiments suggest that for practical problems the gap between the two is small, even for large problems involving hundreds of assets. The same approach can be used for related problems, such as that of tracking an index with a portfolio consisting of a small number of assets.

Planning Dynamically Feasible Trajectories for Quadrotors Using Safe Flight Corridors in 3-D Complex Environments

Abstract: There is extensive literature on using convex optimization to derive piece-wise polynomial trajectories for controlling differential flat systems with applications to three-dimensional flight for Micro Aerial Vehicles. In this work, we propose a method to formulate trajectory generation as a quadratic program (QP) using the concept of a Safe Flight Corridor (SFC). The SFC is a collection of convex overlapping polyhedra that models free space and provides a connected path from the robot to the goal position. We derive an efficient convex decomposition method that builds the SFC from a piece-wise linear skeleton obtained using a fast graph search technique. The SFC provides a set of linear inequality constraints in the QP allowing real-time motion planning. Because the range and field of view of the robot's sensors are limited, we develop a framework of Receding Horizon Planning , which plans trajectories within a finite footprint in the local map, continuously updating the trajectory through a re-planning process. The re-planning process takes between 50 to 300 ms for a large and cluttered map. We show the feasibility of our approach, its completeness and performance, with applications to high-speed flight in both simulated and physical experiments using quadrotors.

LMI-based controller synthesis: A unified formulation and solution

Abstract: This paper proposes a unified approach to linear controller synthesis that employs various LMI conditions to represent control specifications. We define a comprehensive class of LMIs and consider a general synthesis problem described by any LMI of the class. We show a procedure that reduces the synthesis problem, which is a BMI problem, to solving a certain LMI. The derived LMI condition is equivalent to the original BMI condition and also gives a convex parametrization of all the controllers that solve the synthesis problem. The class contains many of widely-known LMIs (for H∞ norm, H2 norm, etc.), and hence the solution of this paper unifies design methods that have been proposed depending on each LMI. Further, the class also provides LMIs for multi-objective performance measures, which enable a new formulation of controller design through convex optimization. © 1998 John Wiley & Sons, Ltd.

Convex Functions: Constructions, Characterizations and Counterexamples

Abstract: Like differentiability, convexity is a natural and powerful property of functions that plays a significant role in many areas of mathematics, both pure and applied. It ties together notions from topology, algebra, geometry and analysis, and is an important tool in optimization, mathematical programming and game theory. This book, which is the product of a collaboration of over 15 years, is unique in that it focuses on convex functions themselves, rather than on convex analysis. The authors explore the various classes and their characteristics and applications, treating convex functions in both Euclidean and Banach spaces. The book can either be read sequentially for a graduate course, or dipped into by researchers and practitioners. Each chapter contains a variety of specific examples, and over 600 exercises are included, ranging in difficulty from early graduate to research level.

Nonlinear proximal point algorithms using Bregman functions, with applications to convex programming

Abstract: A Bregman function is a strictly convex, differentiable function that induces a well-behaved distance measure or D-function on Euclidean space. This paper shows that, for every Bregman function, there exists a "nonlinear" version of the proximal point algorithm, and presents an accompanying convergence theory. Applying this generalization of the proximal point algorithm to convex programming, one obtains the D-function proximal minimization algorithm of Censor and Zenios, and a wide variety of new multiplier methods. These multiplier methods are different from those studied by Kort and Bertsekas, and include nonquadratic variations on the proximal method of multipliers.