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math.OC2026
Online Sketched Newton-Raphson
Jean-Luc Lupien, Yuen-Man Pun, Youssef Diouane +2
In online convex optimization (OCO), a decision-maker is confronted with an unknown environment and seeks to play an optimal sequence of decisions on a short time-scale using only…
math.OC2025
A Fundamental Convergence Rate Bound for Gradient Based Online Optimization Algorithms with Exact Tracking
Alex Xinting Wu, Ian R. Petersen, Iman Shames
In this paper, we consider algorithms with integral action for solving online optimization problems characterized by quadratic cost functions with a time-varying optimal point desc…
math.OC2024
An online optimization algorithm for tracking a linearly varying optimal point with zero steady-state error
Alex Xinting Wu, Ian R. Petersen, Valery Ugrinovskii +1
In this paper, we develop an online optimization algorithm for solving a class of nonconvex optimization problems with a linearly varying optimal point. The global convergence of t…