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arXiv · 2410.21570

A novel switched systems approach to nonconvex optimisation

Joel Ferguson·Saeed Ahmed·Juan E. Machado·Michele Cucuzzella·Jacquelien M. A. Scherpen
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Abstract

We develop a novel switching dynamics that converges to the Karush-Kuhn-Tucker (KKT) point of a nonlinear optimisation problem. This new approach is particularly notable for its lower dimensionality compared to conventional primal-dual dynamics, as it focuses exclusively on estimating the primal variable. Our method is successfully illustrated on general quadratic optimisation problems, the minimisation of the classical Rosenbrock function, and a nonconvex optimisation problem stemming from the control of energy-efficient buildings.

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Joel Ferguson, Saeed Ahmed, Juan E. Machado, Michele Cucuzzella, Jacquelien M. A. Scherpen. 2024-10-28. A novel switched systems approach to nonconvex optimisation. https://arxiv.org/abs/2410.21570

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