Computer architectures to close the loop in real-time optimization

Many modern control, automation, signal processing and machine learning applications rely on solving a sequence of optimization problems, which are updated with measurements of a real system that evolves in time. The solutions of each of these optimization problems are then used to make decisions, which may be followed by changing some parameters of the physical system, thereby resulting in a feedback loop between the computing and the physical system. Real-time optimization is not the same as `fast' optimization, due to the fact that the computation is affected by an uncertain system that evolves in time. The suitability of a design should therefore not be judged from the optimality of a single optimization problem, but based on the evolution of the entire cyber-physical system. The algorithms and hardware used for solving a single optimization problem in the office might therefore be far from ideal when solving a sequence of real-time optimization problems. Instead of there being a single, optimal design, one has to trade-off a number of objectives, including performance, robustness, energy usage, size and cost. We therefore provide here a tutorial introduction to some of the questions and implementation issues that arise in real-time optimization applications. We will concentrate on some of the decisions that have to be made when designing the computing architecture and algorithm and argue that the choice of one informs the other.