Randomized Algorithms for Probabilistic Optimal Robust Performance Controller Design

Polynomial-time randomized algorithms were constructed to approximately solve optimal robust performance controller design problems in probabilistic sense and the rigorous mathematical justification of the approach was given. The randomized algorithms here were based on a property from statistical learning theory known as (uniform) convergence of empirical means (UCEM). It is argued that in order to assess the performance of a controller as the plant varies over a pre-specified family, it is better to use the average performance of the controller as the objective function to be optimized, rather than its worst-case performance. The approach is illustrated to be efficient through an example.