Random Coordinate Minimization Method with Eventual Transverse Directions for Constrained Polynomial Optimization

Giuseppe Calafiore1, Carlo Novara1, Corrado Possieri1

  • 1Politecnico di Torino

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Regular Session

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10:00 - 12:00 | Wed 11 Dec | Rhodes AB | WeA16

Optimization I

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Abstract

In this paper, we propose a novel algorithm for the solution of polynomial optimization problems. In particular, we show that, under mild assumptions, such problems can be solved by performing a random coordinate-wise minimization and, eventually, when a coordinate-wise minimum has been reached, an univariate minimization along a randomly chosen direction. The theoretical results are corroborated by a numerical example where the given procedure is compared with several other methods able to solve polynomial problems.

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