Probabilistic and randomized methods for design under uncertainty.
probabilistic constraintsrandomized methodsrobust controlrobust optimizationrobustness analysissamplinguncertainty
Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Proceedings, conferences, collections, etc. pertaining to operations research and mathematical programming (90-06) Proceedings, conferences, collections, etc. pertaining to systems and control theory (93-06)
[The articles of this volume will be reviewed individually.] This collection is devoted to uncertain control systems and to optimization problems in which the data are not exactly known. Here, the focus is on stochastic programs with probabilistic constraints and on robust optimization problems. Interactions between these fields are highlighted. Randomized and probabilistic techniques for solving design problems in the presence of stochastic uncertainty are presented. The book is divided into three parts. The first part -- Chance-constrained and stochastic optimization -- presents papers ``Scenario approximations of chance constraints by A. Nemirovski, A. Shapiro and ``Optimization models with probabilistic constraints by D. Dentcheva dealing with the general theory and solution methodologies for probability-constrained stochastic programs, paper ``Theoretical framework for comparing several stochastic optimization approaches by J. C. Spall et al. which considers a broad class of stochastic optimization problems and paper by A. Ruszczyński, A. Shapiro ``Optimization of risk measures. The second part of the book -- Robust optimization and random sampling -- contains five papers on robust design methods exploiting randomization and sampling: ``Sampled convex programs and probabilistically robust design by G. Calafiore, M. C. Campi, ``Tetris: A study of randomized constraint sampling by V. F. Farias, B. Van Roy. ``Near optimal solutions to least-squares problems with stochastic uncertainty by G. Calafiore, F. Dabbene, ``The randomized ellipsoid algorithm for constrained robust least squares problems by S. Kanev, M. Verhaegen, and ``Randomized algorithms for semi-infinite programming problems by V. B. Tadić et al. The last part --Probabilistic methods in identification and control -- includes paper ``A learning thcory approach to system identification and stochastic optimal control by M. Vidyasagar, R. J. Karandikar which presents a new statistical learning theory based framework for system identification, and six further papers dealing with applications of randomized methods for analysis and design of robust control systems: ``Probabilistic design of a robust controller using a parameter-dependent Lyapunov function by Y. Oishi, ``Probabilistic robust controller design: Probable near minimax value and randomized algorithm by Y. Fujisaki, Y. Kozawa, ``Sampling random transfer functions by C. M. Lagoa et al., ``Nonlinear systems stability via random and quasi-random methods by P. F. Hokayem et al., ``Probabilistic control of nonlinear uncertain systems by Q. Wang, R. F. Stengel, and ``Fast randomized algorithms for probabilistic robustness analysis by X. Chen et al. The list of references contains almost 400 items. Indexed articles: \textit{Nemirovski, Arkadi; Shapiro, Alexander}, Scenario approximations of chance constraints, 3-47, 433-453 [Zbl 1181.90248] \textit{Dentcheva, Darinka}, Optimization models with probabilistic constraints, 49-97, 433-453 [Zbl 1181.90204] \textit{Spall, James C.; Hill, Stacy D.; Stark, David R.}, Theoretical framework for comparing several stochastic optimization approaches, 99-117, 433-453 [Zbl 1181.90207] \textit{Ruszczyński, Andrzej; Shapiro, Alexander}, Optimization of risk measures, 119-157, 433-453 [Zbl 1181.90281] \textit{Calafiore, Giuseppe; Campi, Marco C.}, Sampled convex programs and probabilistically robust design, 161-188, 433-453 [Zbl 1181.90218] \textit{Farias, Vivek F.; Van Roy, Benjamin}, Tetris: A study of randomized constraint sampling, 189-201, 433-453 [Zbl 1181.90279] \textit{Calafiore, Giuseppe; Dabbene, Fabrizio}, Near optimal solutions to least-squares problems with stochastic uncertainty, 203-221, 433-453 [Zbl 1181.93094] \textit{Kanev, Stoyan; Verhaegen, Michel}, The randomized ellipsoid algorithm for constrained robust least squares problems, 223-242, 433-453 [Zbl 1274.65169] \textit{Tadić, Vladislav B.; Meyn, Sean P.; Tempo, Roberto}, Randomized algorithms for semi-infinite programming problems, 243-261, 433-453 [Zbl 1274.90443] \textit{Vidyasagar, Mathukumalli; Karandikar, Rajeeva L.}, A learning theory approach to system identification and stochastic adaptive control, 265-302, 433-453 [Zbl 1274.93286] \textit{Oishi, Yasuaki}, Probabilistic design of a robust controller using a parameter-dependent Lyapunov function, 303-316, 433-453 [Zbl 1274.93285] \textit{Fujisaki, Yasumasa; Kozawa, Yasuaki}, Probabilistic robust controller design: probable near minimax value and randomized algorithms, 317-329, 433-453 [Zbl 1274.93282] \textit{Lagoa, Constantino M.; Li, Xiang; Mazzaro, Maria Cecilia; Sznaier, Mario}, Sampling random transfer functions, 331-363, 433-453 [Zbl 1274.93284] \textit{Hokayem, Peter F.; Mastellone, Silvia; Abdallah, Chaouki T.}, Nonlinear systems stability via random and quasi-random methods, 365-379, 433-453 [Zbl 1274.93283] \textit{Wang, Qian; Stengel, Robert F.}, Probabilistic control of nonlinear uncertain systems, 365-379, 433-453 [Zbl 1274.93287] \textit{Chen, Xinjia; Zhou, Kemin; Aravena, Jorge}, Fast randomized algorithms for probabilistic robustness analysis, 381-314, 433-453 [Zbl 1274.90242]
- Uncertain convex programs: randomized solutions and confidence levels
- Randomized algorithms for analysis and control of uncertain systems. With a foreword by M. Vidyasagar
- Sampled convex programs and probabilistically robust design
- Randomized algorithms for analysis and control of uncertain systems. With applications
- Probabilistic Robust Controller Design: Probable Near Minimax Value and Randomized Algorithms
- Cautious \(\mathcal H_2\) optimal control using uncertain Markov parameters identified in closed loop
- Distributed randomized algorithms for probabilistic performance analysis
- Global optimization of robust chance constrained problems
- Asymptotic formulas for the derivatives of probability functions and their Monte Carlo estimations
- Probabilistic design and quality control in probabilistic strength of materials.
- Data-driven robust chance constrained problems: a mixture model approach
- Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design
- Uncertain convex programs: randomized solutions and confidence levels
- Robust learning-based MPC for nonlinear constrained systems
- Distributionally robust polynomial chance-constraints under mixture ambiguity sets
- Research on probabilistic methods for control system design
- A survey of randomized algorithms for control synthesis and performance verification
- Robust design through probabilistic maximization
- A probabilistic analytic center cutting plane method for feasibility of uncertain LMIs
- Shapley-Folkman-Lyapunov theorem and asymmetric first price auctions
- Controller design through random sampling: an example
- Optimization under uncertainty with applications to design of truss structures
- Suboptimal solution of one singular integral equation with perturbed operator based on probabilistic methods
- Sampled convex programs and probabilistically robust design
- Index policy for multiarmed bandit problem with dynamic risk measures
- Scenario based optimisation over uncertain system identification models
- Robust approximation of chance constrained optimization with polynomial perturbation
- On risk evaluation and control of distributed multi-agent systems
- Benders decomposition for the large-scale probabilistic set covering problem
- Optimizing sequential decision-making under risk: strategic allocation with switching penalties
- Finding search directions in quasi-Newton methods for minimizing a quadratic function subject to uncertainty
- Short communication: a note on robust risk-sharing with convex risk measures
- Risk-adaptive approaches to stochastic optimization: a survey
- Event-based optimization approach for solving stochastic decision problems with probabilistic constraint
- Guaranteed cost regulator design: a probabilistic solution and a randomized algorithm
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