A scenario approach for non-convex control design

S. Grammatico, X. Zhang, K. Margellos, P. J. Goulart and J. Lygeros

IEEE Transactions on Automatic Control, vol. 61, no. 2, pp. 334-345, February 2016.
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  author = {S. Grammatico and X. Zhang and K. Margellos and P. J. Goulart and J. Lygeros},
  title = {A scenario approach for non-convex control design},
  journal = {IEEE Transactions on Automatic Control},
  year = {2016},
  volume = {61},
  number = {2},
  pages = {334-345},
  url = {http://ieeexplore.ieee.org/xpls/icp.jsp?arnumber=7108021},
  doi = {10.1109/TAC.2015.2433591}

Randomized optimization is an established tool for control design with modulated robustness. While for uncertain convex programs there exist efficient randomized approaches, this is not the case for non-convex problems. Approaches based on statistical learning theory are applicable to non-convex problems, but they usually are conservative in terms of performance and require high sample complexity to achieve the desired probabilistic guarantees. In this paper, we derive a novel scenario approach for a wide class of random non-convex programs, with a sample complexity similar to that of uncertain convex programs and with probabilistic guarantees that hold not only for the optimal solution of the scenario program, but for all feasible solutions inside a set of a-priori chosen complexity. We also address measure-theoretic issues for uncertain convex and non- convex programs. Among the family of non-convex control-design problems that can be addressed via randomization, we apply our scenario approach to stochastic model predictive control for chance-constrained nonlinear control-affine systems.