ROBIST: Robust Optimization by Iterative Scenario Sampling and Statistical Testing

In this paper, we propose ROBIST, a simple, yet effective, data-driven algorithm for optimization under parametric uncertainty. The algorithm first generates solutions in an iterative manner by sampling and optimizing over a relatively small set of scenarios. Then, using statistical testing, the robustness of the solutions is evaluated, which can be done with a much … Read more

Nonsmooth Methods for Control Design with Integral Quadratic Constraints

We develop an optimization technique to compute local solutions to synthesis problems subject to integral quadratic constraints (IQCs). We use the fact that IQCs may be transformed into semi-infinite maximum eigenvalue constraints over the frequency axis and approach them via nonsmooth optimization methods. We develop a suitable spectral bundle method and prove its convergence in … Read more