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

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.

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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.

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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

http://users.cecs.anu.edu.au/~john/papers/JOUR/052.PDF

Brief paper: On strong consistency of least squares identification algorithms

One of the central issues in dextrous robotic hand grasping is to balance external forces acting on the object and at the same time achieve grasp stability and minimum grasping effort. A companion paper shows that the nonlinear friction-force limit constraints on grasping forces are equivalent to the positive definiteness of a certain matrix subject to linear constraints. Further, compensation of the external object force is also a linear constraint on this matrix. Consequently, the task of grasping force optimization can be formulated as a problem with semidefinite constraints. In this paper, two versions of strictly convex cost functions, one of them self-concordant, are considered. These are twice-continuously differentiable functions that tend to infinity at the boundary of possible definiteness. For the general class of such cost functions, Dikin-type algorithms are presented. It is shown that the proposed algorithms guarantee convergence to the unique solution of the semidefinite programming problem associated with dextrous grasping force optimization. Numerical examples demonstrate the simplicity of implementation, the good numerical properties, and the optimality of the approach.

Dikin-Type Algorithms for Dextrous Grasping Force Optimization

The determination of the state-space equations of a time-varying finite-dimensional linear system with a prescribed output covariance matrix is considered when the system is excited by Gaussian white-noise inputs. It is shown that a symmetric state covariance matrix provides the key link between the state-space equations of a system and the system output covariance matrix. Furthermore, such a matrix satisfies a linear matrix differential equation if the state-space equations of the system are known, and a matrix Riccati equation if the output covariance matrix of the system is given. Existence results are given for the Riccati equation solution, and discussion of asymptotic solutions of the differential equations is also included.

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Spectral factorization of time-varying covariance functions

Weighted least squares, and related stochastic approximation algorithms are studied for parameter estimation, adaptive state estimation, adaptive N -step-ahead prediction, and adaptive control, in both white and colored noise environments. For the fundamental algorithm which is the basis for the various applications, the step size in the stochastic approximation versions and the weighting coefficient in the weighted least squares schemes are selected according to a readily calculated stability measure associated with the estimator. The selection is guided by the convergence theory. In this way, strong global convergence of the parameter estimates, state estimates, and prediction or tracking errors is not only guaranteed under the appropriate noise, passivity, and stability or minimum phase conditions, but the convergence is also as fast as it appears reasonable to achieve given the simplicity of the adaptive scheme.

John B. Moore

Papers

Brief paper: On strong consistency of least squares identification algorithms

Dikin-Type Algorithms for Dextrous Grasping Force Optimization

Spectral factorization of time-varying covariance functions

Convergence of adaptive minimum variance algorithms via weighting coefficient selection

On the Youla-Kucera parametrization for nonlinear systems