UTRC CDS Lecture: Laurent Lessard, "Automating analysis & design of large optimization algorithms"
Friday, October 30, 2015
1146 A V Williams Bldg
301 405 6576
UTRC Control and Dynamical Systems Invited Lecture
Automating the analysis and design of large-scale optimization algorithms
Electrical and Computer Engineering
University of Wisconsin
This talk will focus on the challenge of integrating optimization algorithms into safety-critical control systems. The problem of selecting a suitable algorithm for use in large-scale optimization is currently more of an art than a science; a great deal of expertise is required to know which algorithms to apply and how to properly tune them. Moreover, there are seldom performance or robustness guarantees.
Our key observation is that iterative optimization algorithms may be viewed as discrete-time controllers, and the problem of algorithm selection/tuning may be viewed as a robust control problem. By solving simple semidefinite programs, we can derive robust bounds on convergence rates for popular algorithms such as the gradient method, proximal methods, fast/accelerated methods, and operator-splitting methods such as ADMM. Finally, our framework can be used to search for algorithms that meet desired performance specifications, thus establishing a new and principled methodology for algorithm design. As an illustrative example, we synthesize a new family of first-order algorithms that explore the trade-off between performance and robustness to noise.
Laurent Lessard is an Assistant Professor in the Department of Electrical and Computer Engineering at the University of Wisconsin-Madison and Faculty Member of the Optimization Group at the Wisconsin Institute for Discovery. He received the B.A.Sc. in Engineering Science from the University of Toronto, and received the M.S. and Ph.D. in Aeronautics and Astronautics at Stanford University. After completing his doctoral work, he was an LCCC Postdoc at Lund University, Sweden, and a postdoctoral researcher at the University of California, Berkeley, where he worked in the Berkeley Center for Control and Identification. Dr. Lessard received the O. Hugo Schuck Best Paper Award at the American Control Conference in 2013.