Robust and structure exploiting optimisation algorithms: an integral quadratic constraint approach

Abstract

We consider the problem of analysing and designing gradient-based discrete-time optimisation algorithms for a class of unconstrained optimisation problems having strongly convex objective functions with Lipschitz continuous gradient. By formulating the problem as a robustness analysis problem and making use of a suitable adaptation of the theory of integral quadratic constraints, we establish a framework that allows to analyse convergence rates and robustness properties of existing algorithms and enables the design of novel robust optimisation algorithms with prespecified guarantees capable of exploiting additional structure in the objective function.