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000196229 005__ 20190316235833.0
000196229 0247_ $$2doi$$a10.1109/TAC.2015.2444134
000196229 022__ $$a0018-9286
000196229 02470 $$2ISI$$a000370428800011
000196229 037__ $$aARTICLE
000196229 245__ $$aDistributionally Robust Control of Constrained Stochastic Systems
000196229 260__ $$bInstitute of Electrical and Electronics Engineers$$c2016$$aPiscataway
000196229 269__ $$a2016
000196229 300__ $$a13
000196229 336__ $$aJournal Articles
000196229 500__ $$aAvailable from Optimization Online
000196229 520__ $$aWe investigate the control of constrained stochastic linear systems when faced with only limited information regarding the disturbance process, i.e. when only the first two moments of the disturbance distribution are known. We consider two types of distributionally robust constraints. The constraints of the first type are required to hold with a given probability for all disturbance distributions sharing the known moments. These constraints are commonly referred to as distributionally robust chance constraints with second-order moment specifications. In the second case, we impose conditional value-at-risk (CVaR) constraints to bound the expected constraint violation for all disturbance distributions consistent with the given moment information. Such constraints are referred to as distributionally robust CVaR constraints with second-order moment specifications. We argue that the design of linear controllers for systems with such constraints is both computationally tractable and practically meaningful for both finite and infinite horizon problems. The proposed methods are illustrated for a wind turbine blade control design case study where flexibility issues play an important role, and for which distributionally robust constraints constitute sensible design objectives.
000196229 6531_ $$aStochastic control
000196229 6531_ $$aDistributionally robust optimisation
000196229 6531_ $$aConvex optimisation
000196229 700__ $$aVan Parys, Bart P.G.
000196229 700__ $$0247589$$g239987$$aKuhn, Daniel
000196229 700__ $$aGoulart, Paul J.
000196229 700__ $$aMorari, Manfred
000196229 773__ $$j61$$tIEEE Transactions on Automatic Control$$k2$$q430-442
000196229 8564_ $$uhttp://www.optimization-online.org/DB_HTML/2013/05/3852.html$$zURL
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000196229 937__ $$aEPFL-ARTICLE-196229
000196229 973__ $$rREVIEWED$$sPUBLISHED$$aEPFL
000196229 980__ $$aARTICLE