Preface 1. Introduction Overview A Brief History of LMIs in Control Theory Notes on the Style of the Book Origin of the Book 2. Some Standard Problems Involving LMIs. Linear Matrix Inequalities Some Standard Problems Ellipsoid Algorithm Interior-Point Methods Strict and Nonstrict LMIs Miscellaneous Results on Matrix Inequalities Some LMI Problems with Analytic Solutions 3. Some Matrix Problems. Minimizing Condition Number by Scaling Minimizing Condition Number of a Positive-Definite Matrix Minimizing Norm by Scaling Rescaling a Matrix Positive-Definite Matrix Completion Problems Quadratic Approximation of a Polytopic Norm Ellipsoidal Approximation 4. Linear Differential Inclusions. Differential Inclusions Some Specific LDIs Nonlinear System Analysis via LDIs 5. Analysis of LDIs: State Properties. Quadratic Stability Invariant Ellipsoids 6. Analysis of LDIs: Input/Output Properties. Input-to-State Properties State-to-Output Properties Input-to-Output Properties 7. State-Feedback Synthesis for LDIs. Static State-Feedback Controllers State Properties Input-to-State Properties State-to-Output Properties Input-to-Output Properties Observer-Based Controllers for Nonlinear Systems 8. Lure and Multiplier Methods. Analysis of Lure Systems Integral Quadratic Constraints Multipliers for Systems with Unknown Parameters 9. Systems with Multiplicative Noise. Analysis of Systems with Multiplicative Noise State-Feedback Synthesis 10. Miscellaneous Problems. Optimization over an Affine Family of Linear Systems Analysis of Systems with LTI Perturbations Positive Orthant Stabilizability Linear Systems with Delays Interpolation Problems The Inverse Problem of Optimal Control System Realization Problems Multi-Criterion LQG Nonconvex Multi-Criterion Quadratic Problems Notation List of Acronyms Bibliography Index.

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Linear Matrix Inequalities in System and Control Theory

Optimal shape design of structural elements based on boundary variations results in final designs that are topologically equivalent to the initial choice of design, and general, stable computational schemes for this approach often require some kind of remeshing of the finite element approximation of the analysis problem. This paper presents a methodology for optimal shape design where both these drawbacks can be avoided. The method is related to modern production techniques and consists of computing the optimal distribution in space of an anisotropic material that is constructed by introducing an infimum of periodically distributed small holes in a given homogeneous, i~otropic material, with the requirement that the resulting structure can carry the given loads as well as satisfy other design requirements. The computation of effective material properties for the anisotropic material is carried out using the method of homogenization. Computational results are presented and compared with results obtained by boundary variations.

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Generating optimal topologies in structural design using a homogenization method

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Asymptotic Analysis of Periodic Structures

Part I. Foundations: 1. Random variables 2. Probability measures 3. Stochastic processes 4. The stochastic integral Part II. Existence and Uniqueness: 5. Linear equations with additive noise 6. Linear equations with multiplicative noise 7. Existence and uniqueness for nonlinear equations 8. Martingale solutions Part III. Properties of Solutions: 9. Markov properties and Kolmogorov equations 10. Absolute continuity and Girsanov's theorem 11. Large time behaviour of solutions 12. Small noise asymptotic.

Stochastic Equations in Infinite Dimensions

This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. A new Chapter X gives an introduction to the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets. Chapter VI of the First Edition has been completely rewritten, to emphasize the relationships between logarithmic transformations and risk sensitivity. A new Chapter XI gives a concise introduction to two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through illustrative examples and selective material, to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance. In this Second Edition, new material on applications to mathematical finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included.

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Controlled Markov processes and viscosity solutions

A hidden Markov model (HMM) consisting of a controlled Markov chain and a binary output is considered. The binary output reports the occurrence of a certain state (versus any other state) in the Markov chain. The transition matrix of the Markov chain depends on a control vector which is to be chosen to minimize a discounted infinite-horizon cost function. The information provided for decision making is the entire history of the binary output which presents an incomplete knowledge of the Markov chain and, as a consequence, leads to a stochastic control problem with partial observations. The solution to such a problem is a control policy consisting of two components: an estimator to derive the posterior probability distribution of the Markov chain from the observation set, and a nonlinear control law to map this estimate into the control vector. This paper introduces a nonlinear state-space representation for the estimator, develops analytical expressions for the control law, and presents numerical methods for efficient computation of the optimal control. Application of these results to optimal management of a class of inventory systems is discussed, and the performance of optimal control for this application is examined by numerical simulations.

Optimal Control of Hidden Markov Models With Binary Observations

We survey in this article the connections between Machine Learning and Control Theory. Control Theory provide useful concepts and tools for Machine Learning. Conversely Machine Learning can be used to solve large control problems. In the first part of the paper, we develop the connections between reinforcement learning and Markov Decision Processes, which are discrete time control problems. In the second part, we review the concept of supervised learning and the relation with static optimization. Deep learning which extends supervised learning, can be viewed as a control problem. In the third part, we present the links between stochastic gradient descent and mean-field theory. Conversely, in the fourth and fifth parts, we review machine learning approaches to stochastic control problems, and focus on the deterministic case, to explain, more easily, the numerical algorithms.

Machine Learning and Control Theory.

Dynamic mean–variance problem with frictions

We study risk-sensitive optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law as well as the state and control processes. Moreover the risk-sensitive cost functional is also of mean-field type. We derive optimality equations in infinite dimensions connecting dual functions associated with Bellman functional to the adjoint process of the Pontryagin maximum principle. The case of linear-exponentiated quadratic cost and its connection with the risk-neutral solution is discussed.

Alain Bensoussan

Papers

Optimal Control of Hidden Markov Models With Binary Observations

Machine Learning and Control Theory.

Dynamic mean–variance problem with frictions

Risk-Sensitive Mean-Field-Type Control

Current results and issues in stochastic control