Numerical Structure of the Hessian of the Lagrange Dual Function for a Class of Convex Problems
Journal article, 2017

This paper considers a structured separable convex optimization problem, motivated by the deployment of model predictive control on multiagent systems that are interacting via nondelayed couplings. We show that the dual decomposition of this problem yields a numerical structure in the Hessian of the dual function. This numerical structure allows for deploying a quasi Newton method in the dual space. For large problems, this approach yields a large reduction of the computational complexity of solving the problem, and for geographically distributed problems a reduction in the communication burden.

Newton method

structure exploitation

dual Hessian

dual decomposition

Author

Emil Klintberg

Chalmers, Signals and Systems, Systems and control, Automatic Control

Sébastien Gros

Chalmers, Signals and Systems, Systems and control, Automatic Control

SIAM Journal on Control and Optimization

0363-0129 (ISSN) 1095-7138 (eISSN)

Vol. 55 1 574-593

Subject Categories

Control Engineering

DOI

10.1137/15m1024573

More information

Created

10/8/2017