Safe Zeroth-Order Optimization Using Linear Programs

Conference paper (2023)

Authors

Baiwei Guo EPFL Switzerland
Y. Wang Team Riccardo Ferrari - Mechanical, Maritime and Materials Engineering
Maryam Kamgarpour EPFL Switzerland
Giancarlo Ferrari-Trecate EPFL Switzerland
Research Group
Team Riccardo Ferrari (Mechanical, Maritime and Materials Engineering) (TU Delft)
Copyright: © 2023 Baiwei Guo, Y. Wang, Maryam Kamgarpour, Giancarlo Ferrari-Trecate
DOI: https://doi.org/10.1109/CDC49753.2023.10384023
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Published Date

2023

Language

English

Reuse Rights

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Faculty

Mechanical, Maritime and Materials Engineering

Department

Delft Center for Systems and Control

Research Group

Team Riccardo Ferrari

Abstract

To solve unmodeled optimization problems with hard constraints, this paper proposes a novel zeroth-order approach called Safe Zeroth-order Optimization using Linear Programs (SZO-LP). The SZO-LP method solves a linear program in each iteration to find a descent direction, followed by a step length determination. We prove that, under mild conditions, the iterates of SZO- LP have an accumulation point that is also the primal of a KKT pair. We then apply SZO-LP to solve an Optimal Power Flow (OPF) problem on the IEEE 30-bus system. The results demonstrate that SZO-LP requires less computation time and samples compared to state-of-the-art approaches.

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