Finite-Time Convergence in Continuous-Time Optimization

Jul 12, 2020

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In this paper, we investigate a Lyapunov-like differential inequality that allows us to establish finite-time stability of a continuous-time state-space dynamical system represented via a multivariate ordinary differential equation or differential inclusion. Equipped with this condition, we successfully synthesize first and second-order dynamical systems that achieve finite-time convergence to the minima of a given sufficiently regular cost function. As a byproduct, we show that the p-rescaled gradient flow (p-RGF) proposed by Wibisono et al. (2016) is indeed finite-time convergent, provided the cost function is gradient dominated of order q in (1,p). Thus, we effectively bridge a gap between the p-RGF and the normalized gradient flow (NGF) (p=∞) proposed by Cortes (2006) in his seminal paper in the context of multi-agent systems. We discuss strategies to discretize our proposed flows and conclude by conducting some numerical experiments to illustrate our results.

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The International Conference on Machine Learning (ICML) is the premier gathering of professionals dedicated to the advancement of the branch of artificial intelligence known as machine learning. ICML is globally renowned for presenting and publishing cutting-edge research on all aspects of machine learning used in closely related areas like artificial intelligence, statistics and data science, as well as important application areas such as machine vision, computational biology, speech recognition, and robotics. ICML is one of the fastest growing artificial intelligence conferences in the world. Participants at ICML span a wide range of backgrounds, from academic and industrial researchers, to entrepreneurs and engineers, to graduate students and postdocs.

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