On-line Non-Convex Constrained Optimization

Olivier Massicot, Jakub Marecek

Published 2019-09-16Version 1

Time-varying non-convex continuous-valued non-linear constrained optimization is a fundamental problem. We study conditions wherein a momentum-like regularising term allow for the tracking of local optima by considering an ordinary differential equation (ODE). We then derive an efficient algorithm based on a predictor-corrector method, to track the ODE solution.