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Citation Author(s):
Andrea Simonetto, Aryan Mokhtari, Geert Leus, Alejandro Ribeiro
Submitted by:
Alec Koppel
Last updated:
23 February 2016 - 1:44pm
Document Type:
Presentation Slides
Document Year:
Alec Koppel

This paper considers unconstrained convex optimiza- tion problems with time-varying objective functions. We propose algorithms with a discrete time-sampling scheme to find and track the solution trajectory based on prediction and correction steps, while sampling the problem data at a constant rate of 1{h, where h is the length of the sampling interval. The prediction step is derived by analyzing the iso-residual dynamics of the optimality conditions. The correction step adjusts for the distance between the current prediction and the optimizer at each time step, and consists either of one or multiple gradient steps or Newton steps, which respectively correspond to the gradient trajectory tracking (GTT) or Newton trajectory tracking (NTT) algorithms. Under suitable conditions, we establish that the asymptotic error incurred by both proposed methods behaves as Oph2q, and in some cases as Oph4q, which outperforms the state-of-the-art error bound of Ophq for correction-only methods in the gradient-correction step. Moreover, when the characteristics of the objective function variation are not available, we propose approximate gradient and Newton tracking algorithms (AGT and ANT, respectively) that still attain these asymptotical error bounds. Numerical simulations demonstrate the practical utility of the proposed methods and that they improve upon existing techniques by several orders of magnitude.

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