3,580 research outputs found
A distributionally robust perspective on uncertainty quantification and chance constrained programming
The objective of uncertainty quantification is to certify that a given physical, engineering or economic system satisfies multiple safety conditions with high probability. A more ambitious goal is to actively influence the system so as to guarantee and maintain its safety, a scenario which can be modeled through a chance constrained program. In this paper we assume that the parameters of the system are governed by an ambiguous distribution that is only known to belong to an ambiguity set characterized through generalized moment bounds and structural properties such as symmetry, unimodality or independence patterns. We delineate the watershed between tractability and intractability in ambiguity-averse uncertainty quantification and chance constrained programming. Using tools from distributionally robust optimization, we derive explicit conic reformulations for tractable problem classes and suggest efficiently computable conservative approximations for intractable ones
Safe Approximations of Chance Constraints Using Historical Data
This paper proposes a new way to construct uncertainty sets for robust optimization. Our approach uses the available historical data for the uncertain parameters and is based on goodness-of-fit statistics. It guarantees that the probability that the uncertain constraint holds is at least the prescribed value. Compared to existing safe approximation methods for chance constraints, our approach directly uses the historical-data information and leads to tighter uncertainty sets and therefore to better objective values. This improvement is significant especially when the number of uncertain parameters is low. Other advantages of our approach are that it can handle joint chance constraints easily, it can deal with uncertain parameters that are dependent, and it can be extended to nonlinear inequalities. Several numerical examples illustrate the validity of our approach.robust optimization;chance constraint;phi-divergence;goodness-of-fit statistics
Robust SINR-Constrained Symbol-Level Multiuser Precoding with Imperfect Channel Knowledge
In this paper, we address robust design of symbol-level precoding for the
downlink of multiuser multiple-input multiple-output wireless channels, in the
presence of imperfect channel state information (CSI) at the transmitter. In
particular, we consider two common uncertainty models for the CSI imperfection,
namely, spherical (bounded) and stochastic (Gaussian). Our design objective is
to minimize the total (per-symbol) transmission power subject to constructive
interference (CI) constraints as well as users' quality-of-service requirements
in terms of signal-to-interference-plus-noise ratio. Assuming bounded channel
uncertainties, we obtain a convex CI constraint based on the worst-case robust
analysis, whereas in the case of Gaussian uncertainties, we define
probabilistic CI constraints in order to achieve robustness to
statistically-known CSI errors. Since the probabilistic constraints of actual
interest are difficult to handle, we resort to their convex approximations,
yielding tractable (deterministic) robust constraints. Three convex
approximations are developed based on different robust conservatism approaches,
among which one is introduced as a benchmark for comparison. We show that each
of our proposed approximations is tighter than the other under specific
robustness conditions, while both always outperform the benchmark. Using the
developed CI constraints, we formulate the robust precoding optimization as a
convex conic quadratic program. Extensive simulation results are provided to
validate our analytic discussions and to make comparisons with existing robust
precoding schemes. We also show that the robust design increases the
computational complexity by an order of the number of users in the large system
limit, compared to its non-robust counterpart.Comment: 19 pages, 9 figures, Submitted to IEEE Transactions in Signal
Processin
Sparse and Constrained Stochastic Predictive Control for Networked Systems
This article presents a novel class of control policies for networked control
of Lyapunov-stable linear systems with bounded inputs. The control channel is
assumed to have i.i.d. Bernoulli packet dropouts and the system is assumed to
be affected by additive stochastic noise. Our proposed class of policies is
affine in the past dropouts and saturated values of the past disturbances. We
further consider a regularization term in a quadratic performance index to
promote sparsity in control. We demonstrate how to augment the underlying
optimization problem with a constant negative drift constraint to ensure
mean-square boundedness of the closed-loop states, yielding a convex quadratic
program to be solved periodically online. The states of the closed-loop plant
under the receding horizon implementation of the proposed class of policies are
mean square bounded for any positive bound on the control and any non-zero
probability of successful transmission
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