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Inducing Uniform Asymptotic Stability in Non-Autonomous Accelerated Optimization Dynamics via Hybrid Regularization

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arxiv 1905.12110 v2 pith:XFFXMAK6 submitted 2019-05-28 math.OC

classification math.OC
keywords dynamicsacceleratedhybridpropertiesrobustnessalgorithmsoptimizationstability
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There have been many recent efforts to study accelerated optimization algorithms from the perspective of dynamical systems. In this paper, we focus on the robustness properties of the time-varying continuous-time version of these dynamics. These properties are critical for the implementation of accelerated algorithms in feedback-based control and optimization architectures. We show that a family of dynamics related to the continuous-time limit of Nesterov's accelerated gradient method can be rendered unstable under arbitrarily small bounded disturbances. Indeed, while solutions of these dynamics may converge to the set of optimizers, in general, this set may not be uniformly asymptotically stable. To induce uniformity, and robustness as a byproduct, we propose a framework where we regularize the dynamics by using resetting mechanisms that are modeled by well-posed hybrid dynamical systems. For these hybrid dynamics, we establish uniform asymptotic stability and robustness properties, as well as convergence rates that are similar to those of the non-hybrid dynamics. We finish by characterizing a family of discretization mechanisms that retain the main stability and robustness properties of the hybrid algorithms.

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Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Proximal gradient flow and Douglas-Rachford splitting dynamics: global exponential stability via integral quadratic constraints

    math.OC 2019-08 conditional novelty 5.0 of 10

    Continuous-time proximal gradient and Douglas-Rachford splitting flows are shown to be globally exponentially stable using integral quadratic constraints, with explicit rates.

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