Robust hybrid zero-order optimization algorithms with acceleration via averaging in time

Abstract

This paper presents a new class of robust zero-order algorithms for the solution of real-time optimization problems with acceleration. In particular, we propose a family of extremum seeking (ES) dynamics that can be universally modeled as singularly perturbed hybrid dynamical systems with restarting mechanisms. From this family of dynamics, we synthesize four fast algorithms for the solution of convex, strongly convex, constrained, and unconstrained optimization problems. In each case, we establish robust semi-global practical asymptotic or exponential stability results, and we also show how to obtain well-posed discretized algorithms that retain the main properties of the original dynamics. Given that existing averaging theorems for singularly perturbed hybrid systems are not directly applicable to our setting, we derive an extended averaging theorem that relaxes some of the assumptions made in the literature, allowing us to make a clear link between the KL bounds that characterize the rates of convergence of the hybrid dynamics and their average dynamics. We also show that our results are applicable to non-hybrid algorithms, thus providing a general framework for accelerated ES dynamics based on averaging theory. We present different numerical examples to illustrate our results.