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Title: Prediction-Correction Algorithms for Time-Varying Constrained Optimization

Journal Article · · IEEE Transactions on Signal Processing
 [1];  [2]
  1. IBM Research, Dublin (Ireland)
  2. National Renewable Energy Lab. (NREL), Golden, CO (United States)

This article develops online algorithms to track solutions of time-varying constrained optimization problems. Particularly, resembling workhorse Kalman filtering-based approaches for dynamical systems, the proposed methods involve prediction-correction steps to provably track the trajectory of the optimal solutions of time-varying convex problems. The merits of existing prediction-correction methods have been shown for unconstrained problems and for setups where computing the inverse of the Hessian of the cost function is computationally affordable. This paper addresses the limitations of existing methods by tackling constrained problems and by designing first-order prediction steps that rely on the Hessian of the cost function (and do not require the computation of its inverse). In addition, the proposed methods are shown to improve the convergence speed of existing prediction-correction methods when applied to unconstrained problems. Numerical simulations corroborate the analytical results and showcase performance and benefits of the proposed algorithms. A realistic application of the proposed method to real-time control of energy resources is presented.

Research Organization:
National Renewable Energy Laboratory (NREL), Golden, CO (United States)
Sponsoring Organization:
USDOE Office of Energy Efficiency and Renewable Energy (EERE); NREL Laboratory Directed Research and Development (LDRD)
Grant/Contract Number:
AC36-08GO28308
OSTI ID:
1394904
Report Number(s):
NREL/JA--5D00-67655
Journal Information:
IEEE Transactions on Signal Processing, Journal Name: IEEE Transactions on Signal Processing Journal Issue: 20 Vol. 65; ISSN 1053-587X
Publisher:
IEEECopyright Statement
Country of Publication:
United States
Language:
English