arXiv subjects

Wenxiao Zhao

Publications and source records attributed to Wenxiao Zhao.

22 records · Page 2Linked to original sources

arXiv2019

Sparse System Identification for Stochastic Feedback Control Systems

Focusing on identification, this paper develops techniques to reconstruct zero and nonzero elements of a sparse parameter vector of a stochastic dynamic system under feedback control, for which the current input may depend on the past inputs and outputs, system noises as well as exogenous dithers. First, a sparse parameter identification algorithm is introduced based on L2 norm with L1 regularization, where the adaptive weights are adopted in the optimization variables of L1 term. Second, estimates generated by the algorithm are shown to have both set and parameter convergence. That is, sets of the zero and nonzero elements in the parameter can be correctly identified with probability one using a finite number of observations, and estimates of the nonzero elements converge to the true values almost surely. Third, it is shown that the results are applicable to a large number of applications, including variable selection, open-loop identification, and closed-loop control of stochastic systems. Finally, numerical examples are given to support the theoretical analysis.

eess.SY↗

arXiv2019

Distributed Interval Optimization with Stochastic Zeroth-order Oracle

In this paper, we investigate a distributed interval optimization problem which is modeled with optimizing a sum of convex interval-valued objective functions subject to global convex constraints, corresponding to agents over a time-varying network. We first reformulate the distributed interval optimization problem as a distributed constrained optimization problem by scalarization. Then, we design a stochastic zeroth-order algorithm to solve the reformulated distributed problem, optimal solutions of which are also proved to be Pareto optimal solutions of the distributed interval optimization problem. Moreover, we construct the explicit convergence and the convergence rate in expectation of the given algorithm. Finally, a numerical example is given to illustrate the effectiveness of the proposed algorithm.

math.OC↗

arXiv2018

Subgradient-Free Stochastic Optimization Algorithm for Non-smooth Convex Functions over Time-Varying Networks

In this paper we consider a distributed stochastic optimization problem without the gradient/subgradient information for the local objective functions, subject to local convex constraints. The objective functions may be non-smooth and observed with stochastic noises, and the network for the distributed design is time-varying. By adding the stochastic dithers into the local objective functions and constructing the randomized differences motivated by the Kiefer-Wolfowitz algorithm, we propose a distributed subgradient-free algorithm to find the global minimizer with local observations. Moreover, we prove that the consensus of estimates and global minimization can be achieved with probability one over the time-varying network, and then obtain the convergence rate of the mean average of estimates as well. Finally, we give a numerical example to illustrate the effectiveness of the proposed algorithm.

eess.SY↗

arXiv2013

Convergence of Distributed Randomized PageRank Algorithms

The PageRank algorithm employed by Google quantifies the importance of each page by the link structure of the web. To reduce the computational burden the distributed randomized PageRank algorithms (DRPA) recently appeared in literature suggest pages to update their ranking values by locally communicating with the linked pages. The main objective of the note is to show that the estimates generated by DRPA converge to the true PageRank value almost surely under the assumption that the randomization is realized in an independent and identically distributed (iid) way. This is achieved with the help of the stochastic approximation (SA) and its convergence results.

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