TY - GEN
T1 - Robust Optimization via Discrete-Time Saddle Point Algorithm
AU - Ebrahimi, Keivan
AU - Vaidya, Umesh
AU - Elia, Nicola
PY - 2019/12
Y1 - 2019/12
N2 - We discover discrete-time counterpart of the continuous-time saddle point algorithm developed in [1] for solving robust optimization problems. Under the assumption that the cost function is convex in the decision variable and uncertainties enter concavely in the robust optimization problem, we prove global asymptotic convergence of the saddle-point algorithm to the robust optimal solution. The sub-gradient nature of the proposed discrete-time algorithm allows us to handle robust optimization problems with discontinuous cost function and constraint.
AB - We discover discrete-time counterpart of the continuous-time saddle point algorithm developed in [1] for solving robust optimization problems. Under the assumption that the cost function is convex in the decision variable and uncertainties enter concavely in the robust optimization problem, we prove global asymptotic convergence of the saddle-point algorithm to the robust optimal solution. The sub-gradient nature of the proposed discrete-time algorithm allows us to handle robust optimization problems with discontinuous cost function and constraint.
UR - http://www.scopus.com/inward/record.url?scp=85082444457&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85082444457&partnerID=8YFLogxK
U2 - 10.1109/CDC40024.2019.9028953
DO - 10.1109/CDC40024.2019.9028953
M3 - Conference contribution
AN - SCOPUS:85082444457
T3 - Proceedings of the IEEE Conference on Decision and Control
SP - 2473
EP - 2478
BT - 2019 IEEE 58th Conference on Decision and Control, CDC 2019
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 58th IEEE Conference on Decision and Control, CDC 2019
Y2 - 11 December 2019 through 13 December 2019
ER -