2023/10/11 by M. Rostami, Rostami, M., Hossein Moradian +3 · 1 citation
Computer Science · Engineering · Mathematics · #Stochastic Gradient Optimization Techniques #Advanced Control Systems Optimization #Advanced Optimization Algorithms Research
paper · pdf · doi:10.48550/arxiv.2310.07925
This paper proposes a set of novel optimization algorithms for solving a class of convex optimization problems with time-varying streaming cost function. We develop an approach to track the optimal solution with a bounded error. Unlike the existing results, our algorithm is executed only by using the first-order derivatives of the cost function which makes it computationally efficient for optimization with time-varying cost function. We compare our algorithms to the gradient descent algorithm and show why gradient descent is not an effective solution for optimization problems with time-varying cost. Several examples including solving a model predictive control problem cast as a convex optimization problem with a streaming time-varying cost function demonstrate our results.