Robust-to-dynamics linear programming

Amir Ali Ahmadi, Oktay Günluk

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

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.

Original languageEnglish (US)
Title of host publication54rd IEEE Conference on Decision and Control,CDC 2015
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages5915-5919
Number of pages5
ISBN (Electronic)9781479978861
DOIs
StatePublished - Feb 8 2015
Event54th IEEE Conference on Decision and Control, CDC 2015 - Osaka, Japan
Duration: Dec 15 2015Dec 18 2015

Publication series

NameProceedings of the IEEE Conference on Decision and Control
Volume54rd IEEE Conference on Decision and Control,CDC 2015
ISSN (Print)0743-1546

Other

Other54th IEEE Conference on Decision and Control, CDC 2015
CountryJapan
CityOsaka
Period12/15/1512/18/15

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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    Ahmadi, A. A., & Günluk, O. (2015). Robust-to-dynamics linear programming. In 54rd IEEE Conference on Decision and Control,CDC 2015 (pp. 5915-5919). [7403149] (Proceedings of the IEEE Conference on Decision and Control; Vol. 54rd IEEE Conference on Decision and Control,CDC 2015). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CDC.2015.7403149