Randomized Methods for Design of Uncertain Systems: Sample Complexity and Sequential Algorithms

Abstract: In this paper, we study randomized methods for feedback design of uncertain systems. The first contribution is to derive the sample complexity of various constrained control problems. In particular, we show the key role played by the binomial distribution and related tail inequalities, and compute the sample complexity. This contribution significantly improves the existing results by reducing the number of required samples in the randomized algorithm. These results are then applied to the analysis of worst-case performance and design with robust optimization. The second contribution of the paper is to introduce a general class of sequential algorithms, denoted as Sequential Probabilistic Validation (SPV). In these sequential algorithms, at each iteration, a candidate solution is probabilistically validated, and corrected if necessary, to meet the required specifications. The results we derive provide the sample complexity which guarantees that the solutions obtained with SPV algorithms meet some pre-specified probabilistic accuracy and confidence. The performance of these algorithms is illustrated and compared with other existing methods using a numerical example dealing with robust system identification.