Convergence of Lasserre's hierarchy: the general case - LAAS - Laboratoire d'Analyse et d'Architecture des Systèmes Accéder directement au contenu
Article Dans Une Revue Optimization Letters Année : 2022

Convergence of Lasserre's hierarchy: the general case

Résumé

Lasserre's moment-SOS hierarchy consists of approximating instances of the generalized moment problem (GMP) with moment relaxations and sums-of-squares (SOS) strenghtenings that boil down to convex semidefinite programming (SDP) problems. Due to the generality of the initial GMP, applications of this technology are countless, and one can cite among them the polynomial optimization problem (POP), the optimal control problem (OCP), the volume computation problem, stability sets approximation problems, and solving nonlinear partial differential equations (PDE). The solution to the original GMP is then approximated with finite truncatures of its moment sequence. For each application , proving convergence of these truncatures towards the optimal moment sequence gives valuable insight on the problem, including convergence of the relaxed values to the original GMP's optimal value. This note proposes a general proof of such convergence, regardless the problem one is faced with, under simple standard assumptions. As a byproduct of this proof, one also obtains strong duality properties both in the infinite dimensional GMP and its finite dimensional relaxations.
Fichier principal
Vignette du fichier
update.pdf (282.09 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-03008545 , version 1 (16-11-2020)
hal-03008545 , version 2 (03-08-2022)
hal-03008545 , version 3 (04-08-2022)

Identifiants

Citer

Matteo Tacchi. Convergence of Lasserre's hierarchy: the general case. Optimization Letters, 2022, 16 (3), pp.1015-1033. ⟨10.1007/s11590-021-01757-6⟩. ⟨hal-03008545v3⟩
99 Consultations
28 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More