Online Convex Optimization with Binary Constraints

Antoine Lesage-Landry, Joshua A. Taylor, Duncan S. Callaway

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

We consider online optimization with binary decision variables and convex loss functions. We design a new algorithm, binary online gradient descent (bOGD) and bound its expected dynamic regret. We provide a regret bound that holds for any time horizon and a specialized bound for finite time horizons. First, we present the regret as the sum of the relaxed, continuous round optimum tracking error, and the rounding error of our update in which the former asymptomatically decreases with time under certain conditions. Then, we derive a finite-time bound that is sublinear in time and linear in the cumulative variation of the relaxed, continuous round optima. We apply bOGD to demand response with thermostatically controlled loads, in which binary constraints model discrete on/off settings. We also model uncertainty and varying load availability, which depend on temperature deadbands, lockout of cooling units and manual overrides. We test the performance of bOGD in several simulations based on demand response. The simulations corroborate that the use of randomization in bOGD does not significantly degrade performance while making the problem more tractable.

Original languageEnglish (US)
Pages (from-to)6164-6170
Number of pages7
JournalIEEE Transactions on Automatic Control
Volume66
Issue number12
DOIs
StatePublished - Dec 1 2021
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering

Keywords

  • Binary decision
  • Demand response
  • Dynamic regret
  • Online convex optimization
  • Thermostatically controlled loads

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