论文标题

部分可观测时空混沌系统的无模型预测

Penalty methods to compute stationary solutions in constrained optimization problems

论文作者

Mohammadi, Ashkan

论文摘要

储层计算是预测湍流的有力工具,其简单的架构具有处理大型系统的计算效率。然而,其实现通常需要完整的状态向量测量和系统非线性知识。我们使用非线性投影函数将系统测量扩展到高维空间,然后将其输入到储层中以获得预测。我们展示了这种储层计算网络在时空混沌系统上的应用,该系统模拟了湍流的若干特征。我们表明,使用径向基函数作为非线性投影器,即使只有部分观测并且不知道控制方程,也能稳健地捕捉复杂的系统非线性。最后,我们表明,当测量稀疏、不完整且带有噪声,甚至控制方程变得不准确时,我们的网络仍然可以产生相当准确的预测,从而为实际湍流系统的无模型预测铺平了道路。

This paper is devoted to studying the stationary solutions of a general constrained optimization problem through its associated unconstrained penalized problems. We aim to answer the question, "what do the stationary solutions of a penalized unconstrained problem tell us about the solutions of the original constrained optimization problem?". We answer the latter question by establishing relationships between global (local) minimizers and stationary points of the two optimization problems. Given the strong connection between stationary solutions between problems, we introduce a new approximate $\varepsilon$-stationary solution for the constrained optimization problems. We propose an algorithm to compute such an approximate stationary solution for a general constrained optimization problem, even in the absence of Clarke regularity. Under reasonable assumptions, we establish the rate $O(\varepsilon^{-2})$ for our algorithm, akin to the gradient descent method for smooth minimization. Since our penalty terms are constructed by the powers of the distance function, our stationarity analysis heavily depends on the generalized differentiation of the distance function. In particular, we characterize the (semi-)differentiability of the distance function $\mbox{dist}(. ;X)$ defined by a Fréchet smooth norm, in terms of the geometry of the set $X$. We show that $\mbox{dist} (. ;X)$ is semi-differentiable if and only if $X$ is geometrically derivable. The latter opens the door to design optimization algorithms for constrained optimization problems that suffer from Clarke irregularity in their objectives and constraint functions.

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