Title :
Chance constrained input design
Author :
Rojas, Cristian R. ; Katselis, Dimitrios ; Hjalmarsson, Håkan ; Hildebrand, Roland ; Bengtsson, Mats
Author_Institution :
ACCESS Linnaeus Center, KTH, Stockholm, Sweden
Abstract :
In this paper the following problem is studied: design an input signal with the property that the estimated model based on this signal satisfies a given performance level with a prescribed probability. This problem is mathematically translated into a chance constrained optimization problem, which is typically non convex. To solve it, several convex approximations are proposed and compared.
Keywords :
concave programming; control system synthesis; convex programming; probability; chance constrained input signal design; chance constrained optimization problem; convex approximation; nonconvex optimization problem; probability; Approximation methods; Degradation; Ellipsoids; Estimation; Finite impulse response filter; Markov processes; Mathematical model;
Conference_Titel :
Decision and Control and European Control Conference (CDC-ECC), 2011 50th IEEE Conference on
Conference_Location :
Orlando, FL
Print_ISBN :
978-1-61284-800-6
Electronic_ISBN :
0743-1546
DOI :
10.1109/CDC.2011.6161135
