Probabilistic Robustness Analysis—Risks, Complexity, and Algorithms

DOI10.1137/060668407zbMATH Open1171.93037arXiv0707.0828OpenAlexW2032392501MaRDI QIDQ3399262FDOQ3399262

Jorge L. Aravena, Kemin Zhou, Xin-Jia Chen

Publication date: 29 September 2009

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: It is becoming increasingly apparent that probabilistic approaches can overcome conservatism and computational complexity of the classical worst-case deterministic framework and may lead to designs that are actually safer. In this paper we argue that a comprehensive probabilistic robustness analysis requires a detailed evaluation of the robustness function and we show that such evaluation can be performed with essentially any desired accuracy and confidence using algorithms with complexity linear in the dimension of the uncertainty space. Moreover, we show that the average memory requirements of such algorithms are absolutely bounded and well within the capabilities of today's computers. In addition to efficiency, our approach permits control over statistical sampling error and the error due to discretization of the uncertainty radius. For a specific level of tolerance of the discretization error, our techniques provide an efficiency improvement upon conventional methods which is inversely proportional to the accuracy level; i.e., our algorithms get better as the demands for accuracy increase.

Full work available at URL: https://arxiv.org/abs/0707.0828

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zbMATH Keywords

computational complexityrandomized algorithmsrisk analysisrobustness analysisuncertain system

Mathematics Subject Classification ID

Randomized algorithms (68W20) Analysis of algorithms (68W40) Robust stability (93D09) Stabilization of systems by feedback (93D15) Stochastic stability in control theory (93E15)

Cited In (11)

• Probabilistic Control of Nonlinear Uncertain Systems
• Probabilistic Risk Analysis of Process Systems Considering Epistemic and Aleatory Uncertainties: A Comparison Study
• How to Increase Robustness of Capable-to-Promise
• Probabilistic evaluation of control system robustness†
• Issues in robustness analysis
• Robustness of feedback stabilization of quasi non-integrable Hamiltonian systems with parametric uncertainty
• A new statistical approach for the analysis of uncertain systems
• Sample Reuse Techniques of Randomized Algorithms for Control under Uncertainty
• Constrained robustness analysis by randomized algorithms
• Fast Construction of Robustness Degradation Function
• Probabilistic search algorithms for robust stability analysis and their complexity properties

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