Time-Varying Convex Optimization: A Contraction and Equilibrium Tracking Approach (2305.15595v3)

Abstract: In this article, we provide a novel and broadly-applicable contraction-theoretic approach to continuous-time time-varying convex optimization. For any parameter-dependent contracting dynamics, we show that the tracking error is asymptotically proportional to the rate of change of the parameter with proportionality constant upper bounded by Lipschitz constant in which the parameter appears divided by the contraction rate of the dynamics squared. We additionally establish that any parameter-dependent contracting dynamics can be augmented with a feedforward prediction term to ensure that the tracking error converges to zero exponentially quickly. To apply these results to time-varying convex optimization problems, we establish the strong infinitesimal contractivity of dynamics solving three canonical problems, namely monotone inclusions, linear equality-constrained problems, and composite minimization problems. For each of these problems, we prove the sharpest-known rates of contraction and provide explicit tracking error bounds between solution trajectories and minimizing trajectories. We validate our theoretical results on three numerical examples including an application to control-barrier function based controller design.