We consider convex optimization problems with N randomly drawn convex constraints. Previous work has shown that the tails of the distribution of the probability that the optimal solution subject to these constraints will violate the next random constraint, can be bounded by a binomial distribution. In this paper we extend these results to the violation probability of convex combinations of optimal solutions of optimization problems with random constraints and different cost objectives. This extension has interesting applications to distributed multi-agent consensus algorithms in which the decision vectors of the agents are subject to random constraints and the agents' goal is to achieve consensus on a common value of the decision vector that satisfies the constraints. We give explicit bounds on the tails of the probability that the agents' decision vectors at an arbitrary iteration of the consensus protocol violate further constraint realizations. In a numerical experiment we apply these results to a model predictive control problem in which the agents aim to achieve consensus on a control sequence subject to random terminal constraints.

Random convex programs for distributed multi-agent consensus / Calafiore, G. C.; Lyons, D.. - ELETTRONICO. - (2013), pp. 250-255. ((Intervento presentato al convegno 2013 12th European Control Conference, ECC 2013 tenutosi a Zurich nel 17-19 July, 2013 [10.23919/ECC.2013.6669266].

Random convex programs for distributed multi-agent consensus

Calafiore G. C.;
2013

Abstract

We consider convex optimization problems with N randomly drawn convex constraints. Previous work has shown that the tails of the distribution of the probability that the optimal solution subject to these constraints will violate the next random constraint, can be bounded by a binomial distribution. In this paper we extend these results to the violation probability of convex combinations of optimal solutions of optimization problems with random constraints and different cost objectives. This extension has interesting applications to distributed multi-agent consensus algorithms in which the decision vectors of the agents are subject to random constraints and the agents' goal is to achieve consensus on a common value of the decision vector that satisfies the constraints. We give explicit bounds on the tails of the probability that the agents' decision vectors at an arbitrary iteration of the consensus protocol violate further constraint realizations. In a numerical experiment we apply these results to a model predictive control problem in which the agents aim to achieve consensus on a control sequence subject to random terminal constraints.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11583/2837801