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This letter presents a framework for synthesizing a robust full-state feedback controller for systems with unknown nonlinearities. Our approach characterizes input-output behavior of the nonlinearities in terms of local norm bounds using…
We present a head-to-head evaluation of the Improved Inexact--Newton--Smart (INS) algorithm against a primal--dual interior-point framework for large-scale nonlinear optimization. On extensive synthetic benchmarks, the interior-point method…
Nonlinear dynamic models are widely used for characterizing functional forms of processes that govern complex biological pathway systems. Over the past decade, validation and further development of these models became possible due to data…
We develop a general framework for MAP estimation in discrete and Gaussian graphical models using Lagrangian relaxation techniques. The key idea is to reformulate an intractable estimation problem as one defined on a more tractable graph,…
We consider solving high-order semidefinite programming (SDP) relaxations of nonconvex polynomial optimization problems (POPs) that often admit degenerate rank-one optimal solutions. Instead of solving the SDP alone, we propose a new…
Many modern datasets don't fit neatly into $n \times p$ matrices, but most techniques for measuring statistical stability expect rectangular data. We study methods for stability assessment on non-rectangular data, using statistical learning…
We propose a new integer programming formulation for the problem of finding a maximum stable set of a graph based on representatives of stable sets. In addition, we investigate exact solutions provided by a Lagrangian decomposition of this…
Differentially Private Stochastic Gradient Descent (DP-SGD) has been widely used for solving optimization problems with privacy guarantees in machine learning and statistics. Despite this, a systematic non-asymptotic convergence analysis…
Necessary optimality conditions in Lagrangian form and the sequential minimization framework are extended to mixed-integer nonlinear optimization, without any convexity assumptions. Building upon a recently developed notion of local…
Sparsity-based methods are widely used in machine learning, statistics, and signal processing. There is now a rich class of structured sparsity approaches that expand the modeling power of the sparsity paradigm and incorporate constraints…
In this paper, we present a dynamic non-diagonal regularization for interior point methods. The non-diagonal aspect of this regularization is implicit, since all the off-diagonal elements of the regularization matrices are cancelled out by…
The larger the distance to instability from a matrix is, the more robustly stable the associated autonomous dynamical system is in the presence of uncertainties and typically the less severe transient behavior its solution exhibits.…
We solve large-scale mixed-integer linear programs (MILPs) via distributed asynchronous saddle point computation. This is motivated by the MILPs being able to model problems in multi-agent autonomy, e.g., task assignment problems and…
Quadratically constrained quadratic programs (QCQPs) are ubiquitous in optimization: Such problems arise in applications from operations research, power systems, signal processing, chemical engineering, and portfolio theory, among others.…
Anomaly detection for non-linear dynamical system plays an important role in ensuring the system stability. However, it is usually complex and has to be solved by large-scale simulation which requires extensive computing resources. In this…
In this paper we present a novel numerical method for computing local minimizers of twice smooth differentiable non-linear programming (NLP) problems. So far all algorithms for NLP are based on either of the following three principles:…
Solving optimization problems is the key to decision making in many real-life analytics applications. However, the coefficients of the optimization problems are often uncertain and dependent on external factors, such as future demand or…
In this paper, we introduce a new stochastic approximation (SA) type algorithm, namely the randomized stochastic gradient (RSG) method, for solving an important class of nonlinear (possibly nonconvex) stochastic programming (SP) problems.…
Differential Dynamic Programming (DDP) has become a well established method for unconstrained trajectory optimization. Despite its several applications in robotics and controls however, a widely successful constrained version of the…
We introduce a new algorithm to solve constrained nonlinear optimal control problem, with an emphasis on low-thrust trajectory in highly nonlinear dynamics. The algorithm, dubbed Pontryagin-Bellman Differential Dynamic Programming (PDDP),…