The scenario approach to robust control design

This paper proposes a probabilistic solution framework for robust control analysis and synthesis problems that can be expressed in the form of minimization of a linear objective subject to convex constraints parameterized by uncertainty terms. This includes for instance the wide class of NP-hard control problems representable by means of parameter-dependent linear matrix inequalities (LMIs). It is shown in this paper that by appropriate sampling of the constraints one obtains a standard convex optimization problem (the scenario problem) whose solution is approximately feasible for the original (usually infinite) set of constraints, i.e. the measure of the set of original constraints that are violated by the scenario solution rapidly decreases to zero as the number of samples is increased. We provide an explicit and efficient bound on the number of samples required to attain a-priori specified levels of probabilistic guarantee of robustness. A rich family of control synthesis problems which are in general hard to solve in a deterministically robust sense is therefore amenable to polynomial-time solution, if robustness is intended in the proposed risk-adjusted sense.