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Optimisation-based algorithms known as Moving Horizon Estimator (MHE) have been developed through the years. This paper illustrates the implementation of the policy introduced in the companion paper submitted to the 18th IFAC Workshop on…
This paper considers the multi-agent linear least-squares problem in a server-agent network. In this problem, the system comprises multiple agents, each having a set of local data points, that are connected to a server. The goal for the…
This paper presents a state- and control-dependent moving-horizon estimation (SCD-MHE) algorithm for nonlinear discrete-time systems. Within this framework, a pseudo-linear representation of nonlinear dynamics is leveraged utilizing state-…
Recently there has been an increasing interest in primal-dual methods for model predictive control (MPC), which require minimizing the (augmented) Lagrangian at each iteration. We propose a novel first order primal-dual method, termed…
Observers for PDEs are themselves PDEs. Therefore, producing real time estimates with such observers is computationally burdensome. For both finite-dimensional and ODE systems, moving-horizon estimators (MHE) are operators whose output is…
Optimization-based state estimation is useful for handling of constrained linear or nonlinear dynamical systems. It has an ideal form, known as full information estimation (FIE) which uses all past measurements to perform state estimation,…
We propose a variant of the classical conditional gradient method for sparse inverse problems with differentiable measurement models. Such models arise in many practical problems including superresolution, time-series modeling, and matrix…
The iterative diagonalization of a sequence of large ill-conditioned generalized eigenvalue problems is a computational bottleneck in quantum mechanical methods employing a nonorthogonal basis for {\em ab initio} electronic structure…
Accurate power system state estimation (PSSE) is an essential prerequisite for reliable operation of power systems. Different from static PSSE, dynamic PSSE can exploit past measurements based on a dynamical state evolution model, offering…
The paper addresses state estimation for linear discrete-time systems with binary (threshold) measurements. A Moving Horizon Estimation (MHE) approach is followed and different estimators, characterized by two different choices of the cost…
Moving Horizon Estimation~(MHE) is essentially an optimization-based approach designed to estimate the states of dynamic systems within a moving time horizon. Traditional MHE solutions become computationally prohibitive due to the…
We propose an optimization proxy in terms of iterative implicit gradient methods for solving constrained optimization problems with nonconvex loss functions. This framework can be applied to a broad range of machine learning settings,…
Many problems encountered in science and engineering can be formulated as estimating a low-rank object (e.g., matrices and tensors) from incomplete, and possibly corrupted, linear measurements. Through the lens of matrix and tensor…
Low-rank matrix estimation is a canonical problem that finds numerous applications in signal processing, machine learning and imaging science. A popular approach in practice is to factorize the matrix into two compact low-rank factors, and…
This paper presents a recursive solution to the receding or moving horizon estimation (MHE) problem for nonlinear time-variant systems. We provide the conditions under which the recursive MHE is equivalent to the extended Kalman filter…
Efficient numerical solvers for partial differential equations empower science and engineering. One of the commonly employed numerical solvers is the preconditioned conjugate gradient (PCG) algorithm which can solve large systems to a given…
Non-convex gradient descent is a common approach for estimating a low-rank $n\times n$ ground truth matrix from noisy measurements, because it has per-iteration costs as low as $O(n)$ time, and is in theory capable of converging to a…
In this paper, we propose a probabilistic optimization method, named probabilistic incremental proximal gradient (PIPG) method, by developing a probabilistic interpretation of the incremental proximal gradient algorithm. We explicitly model…
In this article we develop a gradient-based algorithm for the solution of multiobjective optimization problems with uncertainties. To this end, an additional condition is derived for the descent direction in order to account for…
We propose a Model Predictive Control (MPC) with a single-step prediction horizon to approximate the solution of infinite horizon optimal control problems with the expected sum of convex stage costs for constrained linear uncertain systems.…