Risk Analysis in Robust Control -- Making the Case for Probabilistic Robust Control (0707.0878v1)

Abstract: This paper offers a critical view of the "worst-case" approach that is the cornerstone of robust control design. It is our contention that a blind acceptance of worst-case scenarios may lead to designs that are actually more dangerous than designs based on probabilistic techniques with a built-in risk factor. The real issue is one of modeling. If one accepts that no mathematical model of uncertainties is perfect then a probabilistic approach can lead to more reliable control even if it cannot guarantee stability for all possible cases. Our presentation is based on case analysis. We first establish that worst-case is not necessarily "all-encompassing." In fact, we show that for some uncertain control problems to have a conventional robust control solution it is necessary to make assumptions that leave out some feasible cases. Once we establish that point, we argue that it is not uncommon for the risk of unaccounted cases in worst-case design to be greater than that of the accepted risk in a probabilistic approach. With an example, we quantify the risks and show that worst-case can be significantly more risky. Finally, we join our analysis with existing results on computational complexity and probabilistic robustness to argue that the deterministic worst-case analysis is not necessarily the better tool.