Un algoritmo secuencial, aleatorio y óptimo para problemas de factibilidad robusta

T. Álamo, R. Tempo, D.R. Ramírez, A. Luque, E.F. Camacho

Resumen

En este trabajo (del cual se presentó una versión preliminar en Alamo et al. (2007)) se propone un algoritmo aleatorio para determinar la factibilidad robusta de un conjunto de desigualdades lineales matriciales (Linear Matrix Inequalities, LMI). El algoritmo está basado en la solución de una secuencia de problemas de optimización semidefinida sujetos a un bajo número de restricciones. Se aporta además una cota superior del número máximo de iteraciones que requiere el algoritmo para resolver el problema de factibilidad robusta. Finalmente, los resultados se ilustran mediante un ejemplo numérico.

Palabras clave

Factibilidad robusta; desigualdades lineales matriciales; algoritmos aleatorios; control robusto

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Referencias

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