Randomized Algorithms for Systems and Control: Theory and Applications

摘要

Randomized algorithms (RA) are frequently used in many areas of engineering, computer science, physics, finance, optimization, but their appearance in systems and control is mostly limited to Monte Carlo simulations. Main objective of this mini-course is the introduction to rigorous study of RAs for uncertain systems and control, with specific applications. Randomized algorithms are Probably Approximately Correct (PAC). This implies accepting a 'small' risk of giving a wrong solution. The risk can be made arbitrarily small (but not zero) taking suitable values of so-called confidence and accuracy.