In this thesis, we study two topics related to large-scale sparse
estimation and control. In the first topic, we describe a method to
eliminate features (variables) in $\ell_{1}$-regularized convex optimization
problems. The elimination of features leads to a potentially substantial
reduction in computational effort needed to solve such problems, especially
for large values of the penalty parameter. Our method is not heuristic:
it only eliminates features that are guaranteed to be absent after
solving the optimization problem. The feature elimination step is
easy to parallelize and can test each feature for elimination independently.
Moreover, the computational effort of our method is negligible compared
to that of solving the convex problem.
We study the case of $\ell_{1}$-regularized least-squares problem
(a.k.a. LASSO) extensively and derive a closed-form sufficient condition
for eliminating features. The sufficient condition can be evaluated
by few vector-matrix multiplications. For comparison purposes, we
present a LASSO solver that integrates SAFE with the Coordinate Descent
method. We call our method CD-SAFE, and we report the number of computations
needed for solving a LASSO problem using CD-SAFE and using the plain
Coordinate Descent method. We observe at least a $100$ fold reduction
in computational complexity for dense and sparse data-sets consisting
of millions of variables and millions of observations. Some of these
data-sets can cause memory problems when loaded, or need specialized
solvers. However, with SAFE, we can extend LASSO solvers capabilities
to treat large-scale problems, previously out of their reach. This
is possible, because SAFE eliminates variables and thus portions of
our data at the outset, before loading it into our memory.
We also show how our method can be extended to general $\ell_{1}$-regularized
convex problems. We present preliminary results for the Sparse Support
Vector Machine and Logistic Regression problems.
In the second topic of the thesis, we derive a method for open-loop
control of open channel flow, based on the Hayami model, a parabolic
partial differential equation resulting from a simplification of the
Saint-Venant equations. The open-loop control is represented as infinite
series using differential flatness, for which convergence is assessed.
Numerical simulations show the effectiveness of the approach by applying
the open-loop controller to irrigation canals modeled by the full
Saint-Venant equations.
We experiment with our controller on the Gignac Canal, located northwest
of Montpellier, in southern France. The experiments show that it is
possible to achieve a desired water flow at the downstream of a canal
using the Hayami model as an approximation of the real-system. However,
our observations of the measured water flow at the upstream controlled
gate made us realize some actuator limitations. For example, deadband
in the gate opening and unmodeled disturbances such as friction in
the gate-opening mechanism, only allow us to deliver piece-wise constant
control inputs. This fact made us investigate a way to compute a controller
that respects the actuator limitations. We use the CD-SAFE algorithm,
to compute such open-loop control for the upstream water flow. We
compare the computational effort needed to obtain an open-loop control
with certain dynamics using the CD-SAFE algorithm and the plain Coordinate
Descent algoirthm. We show that with CD-SAFE we are able to obain
an open-loop control signal with cheaper computations.