Optimal switching sequence for switched linear systems

We study the following optimization problem over a dynamical system that consists of several linear subsystems: Given a finite set of n-by-n matrices and an n-dimensional vector, find a sequence of K matrices, each chosen from the given set of matrices, to maximize a convex function over the product of the K matrices and the given vector. This simple problem has many applications in operations research and control, yet a moderate-sized instance is challenging to solve to optimality for state-of-the-art optimization software. We propose a simple exact algorithm for this problem. Our algorithm runs in polynomial time when the given set of matrices has the oligo-vertex property, a concept we introduce in this paper for a set of matrices. We derive several sufficient conditions for a set of matrices to have the oligo-vertex property. Numerical results demonstrate the clear advantage of our algorithm in solving large-sized instances of the problem over one state-of-the-art global solver. We also pose several open questions on the oligo-vertex property and discuss its potential connection with the finiteness property of a set of matrices, which may be of independent interest.