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arXiv 1409.7140math.OC
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鲁棒分布式线性规划

Robust distributed linear programming

Dean Richert, Jorge Cortes

摘要:

本文提出了一种求解一般线性规划的鲁棒分布式算法。算法设计建立在线性规划的解作为修改的拉格朗日函数的鞍点的特征上。我们表明,所得到的连续时间鞍点算法是可证明正确的,但在一般情况下,不分布,因为一个全局参数与非光滑精确罚函数编码的线性规划的不等式约束。这促使设计一个不连续的鞍点动态,同时享受相同的收敛保证,是完全分布式和可扩展的解决方案向量的尺寸。我们还描述了鲁棒性对干扰和链路故障的建议动态。具体地说,我们证明了它是积分输入状态稳定的,但不是输入状态稳定的。后一个事实是一个更普遍的结果,我们也建立,其中指出,没有算法解决方案的线性规划是输入状态稳定的不确定性时,在问题数据影响的动态作为一个干扰的后果。我们的研究结果使我们能够建立所提出的分布式动态的弹性有限变化和代理之间的通信经常断开的干扰。在最优控制应用中的仿真说明了结果。

英文摘要:

This paper presents a robust, distributed algorithm to solve general linear programs. The algorithm design builds on the characterization of the solutions of the linear program as saddle points of a modified Lagrangian function. We show that the resulting continuous-time saddle-point algorithm is provably correct but, in general, not distributed because of a global parameter associated with the nonsmooth exact penalty function employed to encode the inequality constraints of the linear program. This motivates the design of a discontinuous saddle-point dynamics that, while enjoying the same convergence guarantees, is fully distributed and scalable with the dimension of the solution vector. We also characterize the robustness against disturbances and link failures of the proposed dynamics. Specifically, we show that it is integral-input-to-state stable but not input-to-state stable. The latter fact is a consequence of a more general result, that we also establish, which states that no algorithmic solution for linear programming is input-to-state stable when uncertainty in the problem data affects the dynamics as a disturbance. Our results allow us to establish the resilience of the proposed distributed dynamics to disturbances of finite variation and recurrently disconnected communication among the agents. Simulations in an optimal control application illustrate the results.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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