Biblio
We consider a class of robust optimization problems that we call “robust-to-dynamics optimization” (RDO). The input to an RDO problem is twofold: (i) a mathematical program (e.g., an LP, SDP, IP, etc.), and (ii) a dynamical system (e.g., a linear, nonlinear, discrete, or continuous dynamics). The objective is to maximize over the set of initial conditions that forever remain feasible under the dynamics. The focus of this paper is on the case where the optimization problem is a linear program and the dynamics are linear. We establish some structural properties of the feasible set and prove that if the linear system is asymptotically stable, then the RDO problem can be solved in polynomial time. We also outline a semidefinite programming based algorithm for providing upper bounds on robust-to-dynamics linear programs.
We consider the problem of robust on-line optimization of a class of continuous-time nonlinear systems by using a discrete-time controller/optimizer, interconnected with the plant in a sampled-data structure. In contrast to classic approaches where the controller is updated after a fixed sufficiently long waiting time has passed, we design an event-based mechanism that triggers the control action only when the rate of change of the output of the plant is sufficiently small. By using this event-based update rule, a significant improvement in the convergence rate of the closed-loop dynamics is achieved. Since the closed-loop system combines discrete-time and continuous-time dynamics, and in order to guarantee robustness and semi-continuous dependence of solutions on parameters and initial conditions, we use the framework of hybrid set-valued dynamical systems to analyze the stability properties of the system. Numerical simulations illustrate the results.