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.

/pdf/linear-matrix-inequalities-in-system-and-control-theory-2q5cf0pqm2.pdf

Linear Matrix Inequalities in System and Control Theory

Probability Distributions.- Linear Models for Regression.- Linear Models for Classification.- Neural Networks.- Kernel Methods.- Sparse Kernel Machines.- Graphical Models.- Mixture Models and EM.- Approximate Inference.- Sampling Methods.- Continuous Latent Variables.- Sequential Data.- Combining Models.

Pattern Recognition and Machine Learning

Algorithms that must deal with complicated global functions of many variables often exploit the manner in which the given functions factor as a product of "local" functions, each of which depends on a subset of the variables. Such a factorization can be visualized with a bipartite graph that we call a factor graph, In this tutorial paper, we present a generic message-passing algorithm, the sum-product algorithm, that operates in a factor graph. Following a single, simple computational rule, the sum-product algorithm computes-either exactly or approximately-various marginal functions derived from the global function. A wide variety of algorithms developed in artificial intelligence, signal processing, and digital communications can be derived as specific instances of the sum-product algorithm, including the forward/backward algorithm, the Viterbi algorithm, the iterative "turbo" decoding algorithm, Pearl's (1988) belief propagation algorithm for Bayesian networks, the Kalman filter, and certain fast Fourier transform (FFT) algorithms.

/pdf/factor-graphs-and-the-sum-product-algorithm-4ow9910cb0.pdf

Factor graphs and the sum-product algorithm

Monte Carlo methods are revolutionizing the on-line analysis of data in fields as diverse as financial modeling, target tracking and computer vision. These methods, appearing under the names of bootstrap filters, condensation, optimal Monte Carlo filters, particle filters and survival of the fittest, have made it possible to solve numerically many complex, non-standard problems that were previously intractable. This book presents the first comprehensive treatment of these techniques, including convergence results and applications to tracking, guidance, automated target recognition, aircraft navigation, robot navigation, econometrics, financial modeling, neural networks, optimal control, optimal filtering, communications, reinforcement learning, signal enhancement, model averaging and selection, computer vision, semiconductor design, population biology, dynamic Bayesian networks, and time series analysis. This will be of great value to students, researchers and practitioners, who have some basic knowledge of probability. Arnaud Doucet received the Ph. D. degree from the University of Paris-XI Orsay in 1997. From 1998 to 2000, he conducted research at the Signal Processing Group of Cambridge University, UK. He is currently an assistant professor at the Department of Electrical Engineering of Melbourne University, Australia. His research interests include Bayesian statistics, dynamic models and Monte Carlo methods. Nando de Freitas obtained a Ph.D. degree in information engineering from Cambridge University in 1999. He is presently a research associate with the artificial intelligence group of the University of California at Berkeley. His main research interests are in Bayesian statistics and the application of on-line and batch Monte Carlo methods to machine learning. Neil Gordon obtained a Ph.D. in Statistics from Imperial College, University of London in 1993. He is with the Pattern and Information Processing group at the Defence Evaluation and Research Agency in the United Kingdom. His research interests are in time series, statistical data analysis, and pattern recognition with a particular emphasis on target tracking and missile guidance.

/pdf/sequential-monte-carlo-methods-in-practice-3kfxeebn8e.pdf

Sequential Monte Carlo methods in practice

Planning algorithms are impacting technical disciplines and industries around the world, including robotics, computer-aided design, manufacturing, computer graphics, aerospace applications, drug design, and protein folding. This coherent and comprehensive book unifies material from several sources, including robotics, control theory, artificial intelligence, and algorithms. The treatment is centered on robot motion planning but integrates material on planning in discrete spaces. A major part of the book is devoted to planning under uncertainty, including decision theory, Markov decision processes, and information spaces, which are the “configuration spaces” of all sensor-based planning problems. The last part of the book delves into planning under differential constraints that arise when automating the motions of virtually any mechanical system. Developed from courses taught by the author, the book is intended for students, engineers, and researchers in robotics, artificial intelligence, and control theory as well as computer graphics, algorithms, and computational biology.

Planning Algorithms: Introductory Material

Bellman's dynamic programming equation for the optimal index and control law for stochastic control problems is a parabolic or elliptic partial differential equation frequently defined in an unbounded domain. Existing methods of solution require bounded domain approximations, the application of singular perturbation techniques or Monte Carlo simulation procedures. In this paper, using the fact that Poisson impulse noise tends to a Gaussian process under certain limiting conditions, a method which achieves an arbitrarily good approximate solution to the stochastic control problem is given. The method uses the two iterative techniques of successive approximation and quasi-linearization and is inherently more efficient than existing methods of solution.

Solution of the Stochastic control problem in unbounded domains

Finite-dimensional quasi-linear risk-sensitive control

A multiple controller structure and design strategy with stability analysis

This paper is concerned with approximation of Wonham filters. A focal point is that the underlying hidden Markov chain has a large state space. To reduce computational complexity, a two-time-scale approach is developed. Under time scale separation, the state space of the underlying Markov chain is divided into a number of groups such that the chain jumps rapidly within each group and switches occasionally from one group to another. Such structure gives rise to a limit Wonham filter that preserves the main features of the filtering process, but has a much smaller dimension and therefore is easier to compute. Using the limit filter enables us to develop efficient approximations and useful filters for hidden Markov chains. The main advantage of our approach is the reduction of dimensionality

/pdf/two-time-scale-approximation-for-wonham-filters-333ggbc0w0.pdf

Two-Time-Scale Approximation for Wonham Filters

A continuous-time martingale Kronecker lemma is proved and used to discuss parameter estimation for linear systems. The rates of convergence are discussed.

/pdf/a-martingale-kronecker-lemma-and-parameter-estimation-for-55gwg2ett4.pdf

John B. Moore

Papers

Solution of the Stochastic control problem in unbounded domains

Finite-dimensional quasi-linear risk-sensitive control

A multiple controller structure and design strategy with stability analysis

Two-Time-Scale Approximation for Wonham Filters

A martingale Kronecker lemma and parameter estimation for linear systems