Prediction-correction splittings for time-varying optimization with intermittent observations

Nicola Bastianello; Andrea Simonetto; Ruggero Carli

doi:10.1109/LCSYS.2019.2930491

Prediction-correction splittings for time-varying optimization with intermittent observations

Nicola Bastianello
, Andrea Simonetto
, Ruggero Carli

University of Padova
IBM Research Ireland

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

We study the solution of a time-varying optimization problem which is observed, i.e., it is known, only intermittently. We propose three approaches based on the prediction-correction scheme for solving this problem by exploiting splitting methods. We present convergence results in mean to a bounded asymptotical error, and showcase them in a numerical example featuring a regression problem.

langue originale	Anglais
Numéro d'article	8770071
Pages (de - à)	373-378
Nombre de pages	6
journal	IEEE Control Systems Letters
Volume	4
Numéro de publication	2
Les DOIs	https://doi.org/10.1109/LCSYS.2019.2930491
état	Publié - 1 avr. 2020
Modification externe	Oui

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10.1109/LCSYS.2019.2930491

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title = "Prediction-correction splittings for time-varying optimization with intermittent observations",

abstract = "We study the solution of a time-varying optimization problem which is observed, i.e., it is known, only intermittently. We propose three approaches based on the prediction-correction scheme for solving this problem by exploiting splitting methods. We present convergence results in mean to a bounded asymptotical error, and showcase them in a numerical example featuring a regression problem.",

keywords = "Time-varying optimization, intermittent observations, prediction-correction, splitting methods",

author = "Nicola Bastianello and Andrea Simonetto and Ruggero Carli",

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AU - Carli, Ruggero

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N2 - We study the solution of a time-varying optimization problem which is observed, i.e., it is known, only intermittently. We propose three approaches based on the prediction-correction scheme for solving this problem by exploiting splitting methods. We present convergence results in mean to a bounded asymptotical error, and showcase them in a numerical example featuring a regression problem.

AB - We study the solution of a time-varying optimization problem which is observed, i.e., it is known, only intermittently. We propose three approaches based on the prediction-correction scheme for solving this problem by exploiting splitting methods. We present convergence results in mean to a bounded asymptotical error, and showcase them in a numerical example featuring a regression problem.

KW - Time-varying optimization

KW - intermittent observations

KW - prediction-correction

KW - splitting methods

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M3 - Article

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JO - IEEE Control Systems Letters

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Prediction-correction splittings for time-varying optimization with intermittent observations

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