Time-Varying Optimization of LTI Systems via Projected Primal-Dual Gradient Flows
Abstract
This paper investigates the problem of regulating in real time a linear dynamical system to the solution trajectory of a time-varying constrained convex optimization problem. The proposed feedback controller is based on an adaptation of the saddle-flow dynamics, modified to take into account projections on constraint sets and output-feedback from the plant. We derive sufficient conditions on the tunable parameters of the controller (inherently related to the time-scale separation between plant and controller dynamics) to guarantee exponential and input-to-state stability of the closed-loop system. The analysis is tailored to the case of time-varying strongly convex cost functions and polytopic output constraints. The theoretical results are further validated in a ramp metering control problem in a network of traffic highways.
Cite
@article{arxiv.2101.01799,
title = {Time-Varying Optimization of LTI Systems via Projected Primal-Dual Gradient Flows},
author = {Gianluca Bianchin and Jorge Cortes and Jorge I. Poveda and Emiliano Dall'Anese},
journal= {arXiv preprint arXiv:2101.01799},
year = {2021}
}