Seminar Details
2023-10-03 (14h) : Systematic Analysis of Iterative Black-Box Optimization Algorithms using Control
At Euler building (room A.002)
Organized by Mathematical Engineering
Speaker :
Bryan Van Scoy (Miami University, Ohio)
Abstract :
Iterative algorithms are used to solve optimization problems throughout control, robotics, statistics and estimation, signal processing, communication, networks, machine learning, and data science. Recent work from both optimization and control communities has developed a systematic methodology to analyze the worst-case performance of a black-box algorithm over a class of problems. In this talk, we first describe this systematic methodology from a controls perspective and then show how it can be used to analyze and design algorithms in various contexts, such as trading off convergence rate and robustness to gradient noise with noisy first-order oracles, consensus optimization for a multi-agent system, and primal-dual algorithms.