Constrained Convex Optimization Research Articles

Cluster-based distributed augmented Lagrangian algorithm for a class of constrained convex optimization problems

We propose a distributed solution for a constrained convex optimization problem over a network of clustered agents each consisted of a set of subagents. The communication range of the clustered agents is such that they can form a connected undirected graph topology. The total cost in this optimization problem is the sum of the local convex costs of the subagents of each cluster. We seek a minimizer of this cost subject to a set of affine equality constraints, and a set of affine inequality constraints specifying the bounds on the decision variables if such bounds exist. We design our distributed algorithm in a cluster-based framework which results in a significant reduction in communication and computation costs. Our proposed distributed solution is a novel continuous-time algorithm that is linked to the augmented Lagrangian approach. It converges asymptotically when the local cost functions are convex and exponentially when they are strongly convex and have Lipschitz gradients. Moreover, we use an ϵ-exact penalty function to address the inequality constraints and derive an explicit lower bound on the penalty function weight to guarantee convergence to ϵ-neighborhood of the global minimum value of the cost. A numerical example demonstrates our results.

Primal-dual subgradient method for constrained convex optimization problems

This paper considers a general convex constrained problem setting where functions are not assumed to be differentiable nor Lipschitz continuous. Our motivation is in finding a simple first-order method for solving a wide range of convex optimization problems with minimal requirements. We study the method of weighted dual averages (Nesterov in Math Programm 120(1): 221–259, 2009) in this setting and prove that it is an optimal method.

An accelerated first-order method with complexity analysis for solving cubic regularization subproblems

We propose a first-order method to solve the cubic regularization subproblem (CRS) based on a novel reformulation. The reformulation is a constrained convex optimization problem whose feasible region admits an easily computable projection. Our reformulation requires computing the minimum eigenvalue of the Hessian. To avoid the expensive computation of the exact minimum eigenvalue, we develop a surrogate problem to the reformulation where the exact minimum eigenvalue is replaced with an approximate one. We then apply first-order methods such as the Nesterov’s accelerated projected gradient method (APG) and projected Barzilai-Borwein method to solve the surrogate problem. As our main theoretical contribution, we show that when an $$\epsilon$$ -approximate minimum eigenvalue is computed by the Lanczos method and the surrogate problem is approximately solved by APG, our approach returns an $$\epsilon$$ -approximate solution to CRS in $${\tilde{O}}(\epsilon ^{-1/2})$$ matrix-vector multiplications (where $${\tilde{O}}(\cdot )$$ hides the logarithmic factors). Numerical experiments show that our methods are comparable to and outperform the Krylov subspace method in the easy and hard cases, respectively. We further implement our methods as subproblem solvers of adaptive cubic regularization methods, and numerical results show that our algorithms are comparable to the state-of-the-art algorithms.

Subgradient method with feasible inexact projections for constrained convex optimization problems

In this paper, we propose a new inexact version of the projected subgradient method to solve nondifferentiable constrained convex optimization problems. The method combine ϵ-subgradient method with a procedure to obtain a feasible inexact projection onto the constraint set. Asymptotic convergence results and iteration-complexity bounds for the sequence generated by the method employing the well-known exogenous stepsizes, Polyak's stepsizes, and dynamic stepsizes are established.

Joint Offloading and Energy Harvesting Design in Multiple Time Blocks for FDMA Based Wireless Powered MEC

The combination of mobile edge computing (MEC) and wireless power transfer (WPT) is recognized as a promising technology to solve the problem of limited battery capacities and insufficient computation capabilities of mobile devices. This technology can transfer energy to users by radio frequency (RF) in wireless powered mobile edge computing. The user converts the harvested energy, stores it in the battery, and utilizes the harvested energy to execute corresponding local computing and offloading tasks. This paper adopts the Frequency Division Multiple Access (FDMA) technique to achieve task offloading from multiple mobile devices to the MEC server simultaneously. Our objective is to study multiuser dynamic joint optimization of computation and wireless resource allocation under multiple time blocks to solve the problem of maximizing residual energy. To this end, we formalize it as a nonconvex problem that jointly optimizes the number of offloaded bits, energy harvesting time, and transmission bandwidth. We adopt convex optimization technology, combine with Karush–Kuhn–Tucker (KKT) conditions, and finally transform the problem into a univariate constrained convex optimization problem. Furthermore, to solve the problem, we propose a combined method of Bisection method and sequential unconstrained minimization based on Reformulation-Linearization Technique (RLT). Numerical results demonstrate that the performance of our joint optimization method outperforms other benchmark schemes for the residual energy maximization problem. Besides, the algorithm can maximize the residual energy, reduce the computation complexity, and improve computation efficiency.

True experimental reconstruction of quantum states and processes via convex optimization

We use a constrained convex optimization (CCO) method to experimentally characterize arbitrary quantum states and unknown quantum processes on a two-qubit NMR quantum information processor. Standard protocols for quantum state and quantum process tomography are based on linear inversion, which often result in an unphysical density matrix and hence an invalid process matrix. The CCO method, on the other hand, produces physically valid density matrices and process matrices, with significantly improved fidelity as compared to the standard methods. We use the CCO method to estimate the Kraus operators and characterize gates in the presence of errors due to decoherence. We then assume Markovian system dynamics and use a Lindblad master equation in conjunction with the CCO method, to completely characterize the noise processes present in the NMR system.

Data-compatibility of algorithms for constrained convex optimization

Data-compatibility of algorithms for constrained convex optimization

Online Proximal-ADMM for Time-Varying Constrained Convex Optimization

This paper considers a convex optimization problem with cost and constraints that evolve over time. The function to be minimized is strongly convex and possibly non-differentiable, and variables are coupled through linear constraints. In this setting, the paper proposes an online algorithm based on the alternating direction method of multipliers (ADMM), to track the optimal solution trajectory of the time-varying problem; in particular, the proposed algorithm consists of a primal proximal gradient descent step and an appropriately perturbed dual ascent step. The paper derives tracking results, asymptotic bounds, and linear convergence results.The proposed algorithm is then specialized to a multi-area power grid optimization problem, and our numerical results verify the desired properties.

L 1 Norm Regularization Robust Attitude Smoother Using Inertial and Magnetic Sensors

A smoother algorithm to estimate attitude using inertial and magnetic sensors is proposed, where an attitude estimation problem is formulated as an equality constrained convex optimization problem. Existing standard smoothers are local estimators, whose estimation performance critically depends on the initial estimation. This issue is avoided by formulating an attitude problem as a global optimization problem. An l <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">1</sub> regression term is also introduced to make the proposed method robust to sensor outliers (such as temporary magnetic disturbance or external acceleration). The optimization problem is solved through two approximation steps. In the first step, a relaxed solution is computed by relaxing equality constraints to inequality constraints. In the second step, equality constraints are recovered by searching neighborhood of a relaxed solution. Due to the approximation, the proposed algorithm is not guaranteed to provide a globally optimal solution. However, a measure of how close the computed solution is to the globally optimal solution is provided. Through simulation and experiments, the proposed method is shown to be robust to large sensor outliers: the sum of Euler angle rms errors (for 729 different simulations) by the proposed method is 2.974 (rad), while the sum by the standard smoother is 11.52 (rad).

Distributed continuous‐time constrained convex optimization with general time‐varying cost functions

AbstractThe distributed time‐varying constrained convex optimization problem over a connected undirected network topology is studied in this article. The proposed distributed optimization algorithm is composed of a projection map term, a consensus term, and a gradient term, and is feasible for any initial condition. We first show that the states of the optimization algorithm uniformly converge to a neighborhood of the constraint set while an approximate global consensus is achieved. Then the states are proven to uniformly converge to a neighborhood of the time‐varying optimal trajectory. The theoretical results are validated by some simulations.

Smoothing accelerated algorithm for constrained nonsmooth convex optimization problems

In this paper, we consider a class of constrained nonsmooth convex optimization problems, which have wide applications in signal processing, imaging recovery, machine learning, etc. Recently, theoretical analysis and numerical experiments show that the extrapolation can improve the convergence rate of the algorithms efficiently, which let the proximal gradient algorithm with extrapolation have significant advantages in solving large scale optimization problems. Motivated by the smoothing techniques, and the fast iterative shrinkage-thresholding algorithm (FISTA) proposed by Beck and Teboulle, we bring forward a new accelerated algorithm for solving the considered constrained nonsmooth convex optimization problems. We prove that any accumulated point of the algorithm is an optimal solution of the problem. In the analysis of the algorithm, we consider several different update methods for the smoothing parameter, and give the global convergence rate $O(\\ln~k/k)$ on the objective function values. Moreover, we analyze the convergence rate of the difference on the iterates $\\lim_{k\\rightarrow}\\|x^{k+1}-x^k\\|=0$. Finally, our numerical experiments illustrate the good performance of the proposed algorithm in solving two classes of sparse optimization problems and the positive influence of the extrapolation on the convergence rate.

Distributed policy evaluation via inexact ADMM in multi-agent reinforcement learning

This paper studies a distributed policy evaluation in multi-agent reinforcement learning. Under cooperative settings, each agent only obtains a local reward, while all agents share a common environmental state. To optimize the global return as the sum of local return, the agents exchange information with their neighbors through a communication network. The mean squared projected Bellman error minimization problem is reformulated as a constrained convex optimization problem with a consensus constraint; then, a distributed alternating directions method of multipliers (ADMM) algorithm is proposed to solve it. Furthermore, an inexact step for ADMM is used to achieve efficient computation at each iteration. The convergence of the proposed algorithm is established.

Variational Multiscale Nonparametric Regression: Algorithms and Implementation

Many modern statistically efficient methods come with tremendous computational challenges, often leading to large-scale optimisation problems. In this work, we examine such computational issues for recently developed estimation methods in nonparametric regression with a specific view on image denoising. We consider in particular certain variational multiscale estimators which are statistically optimal in minimax sense, yet computationally intensive. Such an estimator is computed as the minimiser of a smoothness functional (e.g., TV norm) over the class of all estimators such that none of its coefficients with respect to a given multiscale dictionary is statistically significant. The so obtained multiscale Nemirowski-Dantzig estimator (MIND) can incorporate any convex smoothness functional and combine it with a proper dictionary including wavelets, curvelets and shearlets. The computation of MIND in general requires to solve a high-dimensional constrained convex optimisation problem with a specific structure of the constraints induced by the statistical multiscale testing criterion. To solve this explicitly, we discuss three different algorithmic approaches: the Chambolle-Pock, ADMM and semismooth Newton algorithms. Algorithmic details and an explicit implementation is presented and the solutions are then compared numerically in a simulation study and on various test images. We thereby recommend the Chambolle-Pock algorithm in most cases for its fast convergence. We stress that our analysis can also be transferred to signal recovery and other denoising problems to recover more general objects whenever it is possible to borrow statistical strength from data patches of similar object structure.

A New Algorithm for the Common Solutions of a Generalized Variational Inequality System and a Nonlinear Operator Equation in Banach Spaces

We study a new algorithm for the common solutions of a generalized variational inequality system and the fixed points of an asymptotically non-expansive mapping in Banach spaces. Under some specific assumptions imposed on the control parameters, some strong convergence theorems for the sequence generated by our new viscosity iterative scheme to approximate their common solutions are proved. As an application of our main results, we solve the standard constrained convex optimization problem. The results here generalize and improve some other authors’ recently corresponding results.

Stochastic Recursive Inclusions in Two Timescales with Nonadditive Iterate-Dependent Markov Noise

In this paper, we study the asymptotic behavior of a stochastic approximation scheme on two timescales with set-valued drift functions and in the presence of nonadditive iterate-dependent Markov noise. We show that the recursion on each timescale tracks the flow of a differential inclusion obtained by averaging the set-valued drift function in the recursion with respect to a set of measures accounting for both averaging with respect to the stationary distributions of the Markov noise terms and the interdependence between the two recursions on different timescales. The framework studied in this paper builds on a recent work by Ramaswamy and Bhatnagar, by allowing for the presence of nonadditive iterate-dependent Markov noise. As an application, we consider the problem of computing the optimum in a constrained convex optimization problem, where the objective function and the constraints are averaged with respect to the stationary distribution of an underlying Markov chain. Further, the proposed scheme neither requires the differentiability of the objective function nor the knowledge of the averaging measure.

A Constrained Convex Optimization Approach to Hyperspectral Image Restoration with Hybrid Spatio-Spectral Regularization

We propose a new constrained optimization approach to hyperspectral (HS) image restoration. Most existing methods restore a desirable HS image by solving some optimization problems, consisting of a regularization term(s) and a data-fidelity term(s). The methods have to handle a regularization term(s) and a data-fidelity term(s) simultaneously in one objective function; therefore, we need to carefully control the hyperparameter(s) that balances these terms. However, the setting of such hyperparameters is often a troublesome task because their suitable values depend strongly on the regularization terms adopted and the noise intensities on a given observation. Our proposed method is formulated as a convex optimization problem, utilizing a novel hybrid regularization technique named Hybrid Spatio-Spectral Total Variation (HSSTV) and incorporating data-fidelity as hard constraints. HSSTV has a strong noise and artifact removal ability while avoiding oversmoothing and spectral distortion, without combining other regularizations such as low-rank modeling-based ones. In addition, the constraint-type data-fidelity enables us to translate the hyperparameters that balance between regularization and data-fidelity to the upper bounds of the degree of data-fidelity that can be set in a much easier manner. We also develop an efficient algorithm based on the alternating direction method of multipliers (ADMM) to efficiently solve the optimization problem. We illustrate the advantages of the proposed method over various HS image restoration methods through comprehensive experiments, including state-of-the-art ones.

Projection-Free Distributed Optimization With Nonconvex Local Objective Functions and Resource Allocation Constraint

We present a novel generalized constrained convex optimization model for multiagent systems that contains both the local, coupled equality, and inequality constraints, and a global resource allocation constraint. This model unifies the traditional constrained optimization problem, the resource allocation problem, and the economic dispatch problem. Unlike the majority of literature where each local objective function is required to be convex, we only require a milder condition that the global objective function is convex. The gradient of the global Lagrangian is estimated locally by each agent using the dynamic average consensus protocol. Synchronously, modified primal-dual dynamics produce the optimal solution via the estimated gradient. The generalized Lagrange multiplier method is introduced to avoid the usual positive projections in the presence of inequality constraints. This leads to smooth dynamics and a continuous Lyapunov derivative, which enables the exponential stability analysis. Simulation examples support the proposed distributed methods.

Experimental demonstration of optimized quantum process tomography on the IBM quantum experience

We experimentally performed complete and optimized quantum process tomography of quantum gates implemented on superconducting qubit-based IBM QX2 quantum processor via two constrained convex optimization (CCO) techniques: least squares optimization and compressed sensing optimization. We studied the performance of these methods by comparing the experimental complexity involved and the experimental fidelities obtained. We experimentally characterized several two-qubit quantum gates: identity gate, a controlled-NOT gate, and a SWAP gate. The general quantum circuit is efficient in the sense that the data needed to perform CCO-based process tomography can be directly acquired by measuring only a single qubit. The quantum circuit can be extended to higher dimensions and is also valid for other experimental platforms.

Electric end-user consumer profit maximization: An online approach

The fast growth of communication technology within the concept of smart grids can provide data and control signals from/to all consumers in an online fashion. This could foster more participation for end-user customers. These types of customers do not necessarily have powerful prediction tools or capability of storing a large amount of historical data. Besides, the relevant information is not always known a priori, while decisions need to be made fast within a very limited time. These limitations and also the novel structure of decision making, which comes from the necessities to make the decision very fast with a limited amount of information, implies a requirement for investigating a novel framework: online decision-making.In this study, we propose an online constrained convex optimization framework for operating responsive end-user electrical customers in real-time. Within this online-decision-making framework, algorithms are proposed for two cases: no prediction data is available at the moment of decision-making, and a limited number of forward time periods predictions of uncertain parameters are available. The simulation results exhibit the capability of the model to achieve considerable profits in an easy-to-implement procedure. Comprehensive numerical test cases are performed for comparison with existent alternative models.

A Block Successive Upper-Bound Minimization Method of Multipliers for Linearly Constrained Convex Optimization

Consider the problem of minimizing the sum of a smooth convex function and a separable nonsmooth convex function subject to linear coupling constraints. Problems of this form arise in many contemporary applications, including signal processing, wireless networking, and smart grid provisioning. Motivated by the huge size of these applications, we propose a new class of first-order primal–dual algorithms called the block successive upper-bound minimization method of multipliers (BSUM-M) to solve this family of problems. The BSUM-M updates the primal variable blocks successively by minimizing locally tight upper bounds of the augmented Lagrangian of the original problem, followed by a gradient-type update for the dual variable in closed form. We show that under certain regularity conditions, and when the primal block variables are updated in either a deterministic or a random fashion, the BSUM-M converges to a point in the set of optimal solutions. Moreover, in the absence of linear constraints and under similar conditions as in the previous result, we show that the randomized BSUM-M (which reduces to the randomized block successive upper-bound minimization method) converges at an asymptotically linear rate without relying on strong convexity.