Controlled Optimization with a Prescribed Finite-Time Convergence Using a Time Varying Feedback Gradient Flow

Abstract: From the perspective of control theory, the gradient descent optimization methods can be regarded as a dynamic system where various control techniques can be designed to enhance the performance of the optimization method. In this paper, we propose a prescribed finite-time convergent gradient flow that uses time-varying gain nonlinear feedback that can drive the states smoothly towards the minimum. This idea is different from the traditional finite-time convergence algorithms that relies on fractional-power or signed gradient as a nonlinear feedback, that is proved to have finite/fixed time convergence satisfying strongly convex or the Polyak-{\L}ojasiewicz (P{\L}) inequality, where due to its nature, the proposed approach was shown to achieve this property for both strongly convex function, and for those satisfies Polyak-{\L}ojasiewic inequality. Our method is proved to converge in a prescribed finite time via Lyapunov theory. Numerical experiments were presented to illustrate our results.