Constructive Solution of Inverse Parametric Linear/Quadratic Programming Problems

N. A. Nguyen (), S. Olaru (), P. Rodriguez-Ayerbe (), M. Hovd () and I. Necoara ()
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N. A. Nguyen: Johannes Kepler University Linz
S. Olaru: CentraleSupélec-CNRS-UPS, Université Paris-Saclay
P. Rodriguez-Ayerbe: CentraleSupélec-CNRS-UPS, Université Paris-Saclay
M. Hovd: Norwegian University of Science and Technology
I. Necoara: University Politehnica Bucharest

Journal of Optimization Theory and Applications, 2017, vol. 172, issue 2, No 14, 623-648

Abstract: Abstract Parametric convex programming has received a lot of attention, since it has many applications in chemical engineering, control engineering, signal processing, etc. Further, inverse optimality plays an important role in many contexts, e.g., image processing, motion planning. This paper introduces a constructive solution of the inverse optimality problem for the class of continuous piecewise affine functions. The main idea is based on the convex lifting concept. Accordingly, an algorithm to construct convex liftings of a given convexly liftable partition will be put forward. Following this idea, an important result will be presented in this article: Any continuous piecewise affine function defined over a polytopic partition is the solution of a parametric linear/quadratic programming problem. Regarding linear optimal control, it will be shown that any continuous piecewise affine control law can be obtained via a linear optimal control problem with the control horizon at most equal to 2 prediction steps.

Keywords: Convex liftings; Parametric convex programming; Inverse optimality; Piecewise affine functions (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10957-016-0968-0

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