Laurent El Ghaoui

Robust Solutions to Least-Squares Problems with Uncertain Data

We consider least-squares problems where the coefficient matrices A,b are unknown but bounded. We minimize the worst-case residual error using (convex) second-order cone programming, yielding an algorithm with complexity similar to one singular value decomposition of A. The method can be interpreted as a Tikhonov regularization procedure, with the advantage that it provides an exact bound on the robustness of solution and a rigorous way to compute the regularization parameter. When the perturbation has a known (e.g., Toeplitz) structure, the same problem can be solved in polynomial-time using semidefinite programming (SDP). We also consider the case when A,b are rational functions of an unknown-but-bounded perturbation vector. We show how to minimize (via SDP) upper bounds on the optimal worst-case residual. We provide numerical examples, including one from robust identification and one from robust interpolation.

A Direct Formulation for Sparse PCA Using Semidefinite Programming

Given a covariance matrix, we consider the problem of maximizing the variance explained by a particular linear combination of the input variables while constraining the number of nonzero coefficients in this combination. This problem arises in the decomposition of a covariance matrix into sparse factors or sparse principal component analysis (PCA), and has wide applications ranging from biology to finance. We use a modification of the classical variational representation of the largest eigenvalue of a symmetric matrix, where cardinality is constrained, and derive a semidefinite programming-based relaxation for our problem. We also discuss Nesterovs smooth minimization technique applied to the semidefinite program arising in the semidefinite relaxation of the sparse PCA problem. The method has complexity

A Robust Minimax Approach to Classification

O(n^4 \sqrt{\log(n)}/\epsilon)

Advances in linear matrix inequality methods in control

, where

Method of Centers for Minimizing Generalized Eigenvalues

n

First-Order Methods for Sparse Covariance Selection

is the size of the underlying covariance matrix and

Control of rational systems using linear-fractional representations and linear matrix inequalities☆

\epsilon

LMI optimization for nonstandard Riccati equations arising in stochastic control

is the desired absolute accuracy on the optimal value of the problem.

Robust state-feedback stabilization of jump linear systems via LMIs

When constructing a classifier, the probability of correct classification of future data points should be maximized. We consider a binary classification problem where the mean and covariance matrix of each class are assumed to be known. No further assumptions are made with respect to the class-conditional distributions. Misclassification probabilities are then controlled in a worst-case setting: that is, under all possible choices of class-conditional densities with given mean and covariance matrix, we minimize the worst-case (maximum) probability of misclassification of future data points. For a linear decision boundary, this desideratum is translated in a very direct way into a (convex) second order cone optimization problem, with complexity similar to a support vector machine problem. The minimax problem can be interpreted geometrically as minimizing the maximum of the Mahalanobis distances to the two classes. We address the issue of robustness with respect to estimation errors (in the means and covariances of the classes) via a simple modification of the input data. We also show how to exploit Mercer kernels in this setting to obtain nonlinear decision boundaries, yielding a classifier which proves to be competitive with current methods, including support vector machines. An important feature of this method is that a worst-case bound on the probability of misclassification of future data is always obtained explicitly.

State-feedback control of systems with multiplicative noise via linear matrix inequalities

Preface Notation Part I. Introduction. Robust Decision Problems in Engineering: A linear matrix inequality approach L. El Ghaoui and S.-I. Niculescu Part II. Algorithms and Software: Mixed Semidefinite-Quadratic-Linear Programs J.-P. A. Haeberly, M. V. Nayakkankuppam and M. L. Overton Nonsmooth algorithms to solve semidefinite programs C. Lemarechal and F. Oustry sdpsol: A Parser/Solver for Semidefinite Programs with Matrix Structure S.-P. Wu and S. Boyd Part III. Analysis: Parametric Lyapunov Functions for Uncertain Systems: The Multiplier Approach M. Fu and S. Dasgupta Optimization of Integral Quadratic Constraints U. Jonsson and A. Rantzer Linear Matrix Inequality Methods for Robust H2 Analysis: A Survey with Comparisons F. Paganini and E. Feron Part IV. Synthesis. Robust H2 Control K. Y. Yang, S. R. Hall and E. Feron Linear Matrix Inequality Approach to the Design of Robust H2 Filters C. E. de Souza and A. Trofino Robust Mixed Control and Linear Parameter-Varying Control with Full Block Scalings C. W. Scherer Advanced Gain-Scheduling Techniques for Uncertain Systems P. Apkarian and R. J. Adams Control Synthesis for Well-Posedness of Feedback Systems T. Iwasaki Part V. Nonconvex Problems. Alternating Projection Algorithms for Linear Matrix Inequalities Problems with Rank Constraints K. M. Grigoriadis and E. B. Beran Bilinearity and Complementarity in Robust Control M. Mesbahi, M. G. Safonov and G. P. Papavassilopoulos Part VI. Applications:Linear Controller Design for the NEC Laser Bonder via Linear Matrix Inequality Optimization J. Oishi and V. Balakrishnan Multiobjective Robust Control Toolbox for LMI-Based Control S. Dussy Multiobjective Control for Robot Telemanipulators J. P. Folcher and C. Andriot Bibliography Index.