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

Management Applications of Modern Control Theory

Hybrid control and dynamic programming

On presente dans cet article une methodologie generale de traitement des problemes de controle impulsionnel, fondee sur l'etude systematique des inequations quasi variationnelles Celles-ci jouent pour le controle impulsionnel un role analogue a celui des equations de Hamilton-Jacobi-Bellman pour le controle continu

Nouvelles Methodes en Contrôle Impulsionnel

We prove that an $(s, S)$ policy is optimal in a continuous-review stochastic inventory model with a fixed ordering cost when the demand is a mixture of (i) a diffusion process and a compound Poisson process with exponentially distributed jump sizes, and (ii) a constant demand and a compound Poisson process. The proof uses the theory of impulse control. The Bellman equation of dynamic programming for such a problem reduces to a set of quasi-variational inequalities (QVI). An analytical study of the QVI leads to showing the existence of an optimal policy as well as the optimality of an $(s, S)$ policy. Finally, the combination of a diffusion and a general compound Poisson demand is not completely solved. We explain the difficulties and what remains open. We also provide a numerical example for the general case.

Alain Bensoussan

Papers

Management Applications of Modern Control Theory

Hybrid control and dynamic programming

Nouvelles Methodes en Contrôle Impulsionnel

Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach

The Master equation in mean field theory