Interior Point Method for Dynamic Constrained Optimization in Continuous Time

Abstract: This paper considers a class of convex optimization problems where both, the objective function and the constraints, have a continuously varying dependence on time. Our goal is to develop an algorithm to track the optimal solution as it continuously changes over time inside or on the boundary of the dynamic feasible set. We develop an interior point method that asymptotically succeeds in tracking this optimal point in nonstationary settings. The method utilizes a time varying constraint slack and a prediction-correction structure that relies on time derivatives of functions and constraints and Newton steps in the spatial domain. Error free tracking is guaranteed under customary assumptions on the optimization problems and time differentiability of objective and constraints. The effectiveness of the method is illustrated in a problem that involves multiple agents tracking multiple targets.