A new framework for constrained optimization via feedback control of Lagrange multipliers
<|reference_start|>A new framework for constrained optimization via feedback control of Lagrange multipliers: The continuous-time analysis of existing iterative algorithms for optimization has a long history. This work proposes a novel continuous-time control-theoretic framework for equality-constrained optimization. The key idea is to design a feedback control system where the Lagrange multipliers are the control input, and the output represents the constraints. The system converges to a stationary point of the constrained optimization problem through suitable regulation. Regarding the Lagrange multipliers, we consider two control laws: proportional-integral control and feedback linearization. These choices give rise to a family of different methods. We rigorously develop the related algorithms, theoretically analyze their convergence and present several numerical experiments to support their effectiveness concerning the state-of-the-art approaches.<|reference_end|>
@article{cerone2024a,
    title={A new framework for constrained optimization via feedback control of
  Lagrange multipliers},
    author={V. Cerone, S. M. Fosson, S. Pirrera, D. Regruto},
    journal={arXiv preprint arXiv:2403.12738},
    year={2024},
    archivePrefix={arXiv},
    eprint={2403.12738},
    primaryClass={math.OC cs.SY eess.SY}
}