Certification of the proximal gradient method under fixed-point arithmetic for box-constrained QP problems

Abstract

In safety-critical applications that rely on the solution of an optimization problem, the certification of the optimization algorithm is of vital importance. Certification and suboptimality results are available for a wide range of optimization algorithms. However, a typical underlying assumption is that the operations performed by the algorithm are exact, i.e., that there is no numerical error during the mathematical operations, which is hardly a valid assumption in a real hardware implementation. This is particularly true in the case of fixed-point hardware, where computational inaccuracies are not uncommon. This article presents a certification procedure for the proximal gradient method for box-constrained QP problems implemented in fixed-point arithmetic. The procedure provides a method to select the minimal fractional precision required to obtain a certain suboptimality bound, indicating the maximum number of iterations of the optimization method required to obtain it. The procedure makes use of formal verification methods to provide arbitrarily tight bounds on the suboptimality guarantee. We apply the proposed certification procedure on the implementation of a non-trivial model predictive controller on 32-bit fixed-point hardware.