A scenario approach for non-convex control design

Randomized optimization is an established tool for control design with modulated robustness. While for uncertain convex programs there exist randomized approaches with efficient sampling, this is not the case for non-convex problems. Approaches based on statistical learning theory are applicable to non-convex problems, but they usually are conservative in terms of performance and require high sample complexity to achieve the desired probabilistic guarantees. In this paper, we derive a novel scenario approach for a wide class of random non-convex programs, with a sample complexity similar to that of uncertain convex programs and with probabilistic guarantees that hold not only for the optimal solution of the scenario program, but for all feasible solutions inside a set of a-priori chosen complexity. We also address measure-theoretic issues for uncertain convex and non-convex programs. Among the family of non-convex control- design problems that can be addressed via randomization, we apply our scenario approach to randomized Model Predictive Control for chance-constrained nonlinear control-affine systems.Comment: Submitted to IEEE Transactions on Automatic Contro

A Posteriori Probabilistic Bounds of Convex Scenario Programs with Validation Tests

Scenario programs have established themselves as efficient tools towards decision-making under uncertainty. To assess the quality of scenario-based solutions a posteriori, validation tests based on Bernoulli trials have been widely adopted in practice. However, to reach a theoretically reliable judgement of risk, one typically needs to collect massive validation samples. In this work, we propose new a posteriori bounds for convex scenario programs with validation tests, which are dependent on both realizations of support constraints and performance on out-of-sample validation data. The proposed bounds enjoy wide generality in that many existing theoretical results can be incorporated as particular cases. To facilitate practical use, a systematic approach for parameterizing a posteriori probability bounds is also developed, which is shown to possess a variety of desirable properties allowing for easy implementations and clear interpretations. By synthesizing comprehensive information about support constraints and validation tests, improved risk evaluation can be achieved for randomized solutions in comparison with existing a posteriori bounds. Case studies on controller design of aircraft lateral motion are presented to validate the effectiveness of the proposed a posteriori bounds

A Tractable Fault Detection and Isolation Approach for Nonlinear Systems with Probabilistic Performance

This article presents a novel perspective along with a scalable methodology to design a fault detection and isolation (FDI) filter for high dimensional nonlinear systems. Previous approaches on FDI problems are either confined to linear systems or they are only applicable to low dimensional dynamics with specific structures. In contrast, shifting attention from the system dynamics to the disturbance inputs, we propose a relaxed design perspective to train a linear residual generator given some statistical information about the disturbance patterns. That is, we propose an optimization-based approach to robustify the filter with respect to finitely many signatures of the nonlinearity. We then invoke recent results in randomized optimization to provide theoretical guarantees for the performance of the proposed filer. Finally, motivated by a cyber-physical attack emanating from the vulnerabilities introduced by the interaction between IT infrastructure and power system, we deploy the developed theoretical results to detect such an intrusion before the functionality of the power system is disrupted