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X-ORIGINAL-URL:http://optimisation.doc.ic.ac.uk
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DTSTART:20110101T000000
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DTSTART;TZID=UTC:20120913T150000
DTEND;TZID=UTC:20120913T150000
DTSTAMP:20260418T184141
CREATED:20170124T102146Z
LAST-MODIFIED:20170124T102146Z
UID:596-1347548400-1347548400@optimisation.doc.ic.ac.uk
SUMMARY:Seminar: Performance bounds in robust & stochastic optimal control problems
DESCRIPTION:Title: Performance bounds in robust & stochastic optimal control problemsSpeaker: Bart Van ParysAffiliation: Automatic Control Laboratory at Swiss Federal Institute of TechnologyLocation: Room 308 Computing DepartmentTime: 3:00pm \nAbstract. We present a new method to bound the performance of controllers for uncertain linear systems with mixed state and input constraints and bounded persistent disturbances.  We take as a performance metric either an expected-value or minimax discounted cost over an infinite horizon\, and provide a method for computing a lower bound on the achievable performance of any causal control policy in either case.  Our lower bound is compared to an upper performance bound provided by restricting the choice of controller to one that is affine in the observed disturbances\, and we show that the two bounds are closely related.  In particular\, the lower bounds have a natural interpretation in terms of affine control policies that are optimal for a problem with a restricted disturbance set.  We show that our performance bounds can be computed via solution of a finite dimensional convex optimization problem\, and provide numerical examples to illustrate the efficacy of our method. \nAbout the speaker. Bart holds a BA degree in electrical engineering\, and a MA degree in applied/engineering mathematics\, both from the University of Leuven.  Since September 2011 he has been a PhD student in the Swiss Federal Institute of Technology (ETH Zürich) under the supervision of Prof. Manfred Morari and Dr. Paul Goulart.
URL:http://optimisation.doc.ic.ac.uk/event/seminar-performance-bounds-in-robust-stochastic-optimal-control-problems/
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