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Control system analysis and synthesis via linear matrix inequalities
Control system analysis synthesis linear matrix inequalities
2015/7/13
A wide variety of problems in systems and control theory can be cast or recast as convex problems that involve linear matrix inequalities (LMIs). For a few very special cases there are “analytical sol...
A Primal-Dual Potential Reduction Method for Problems Involving Matrix Inequalities
Interior point algorithms Linear matrix inequaliües Semidefinite programming
2015/7/13
We describe a potential reduction method for convex optimization problems involving matrix inequalities. The method is based on the theory developed by Nesterov and Nemirovsky and generalizes Gonzaga ...
Multi-objective H2/H-infinity-Optimal Control via Finite Dimensional Q-Parametrization and Linear Matrix Inequalities
Finite Dimensional Q-Parametrization Linear Matrix Inequalities
2015/7/13
The problem of multi-objective H2/H-infinity optimal controller design is reviewed. There is as yet no exact solution to this problem. We present a method based on that proposed by Scherer. The proble...
Approximate Dynamic Programming via Iterated Bellman Inequalities
Convex Optimization Dynamic Programming Stochastic Control
2015/7/9
In this paper we introduce new methods for finding functions that lower bound the value function of a stochastic control problem, using an iterated form of the Bellman inequality. Our method is based ...
On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling
Lyapunov Inequalities Efficient Importance Sampling
2015/7/6
In this article we explain some connections between Lyapunov methods and subsolutions of an associated Isaacs equation for the design of efficient importance sampling schemes. As we shall see, subsolu...