We consider the design of state feedback control laws for both the switching signal and the continuous input of an unknown switched linear system, given past noisy input-state trajectories measurements. Based on Lyapunov–Metzler inequalities and on a matrix S-lemma, we derive data-dependent bilinear programs, whose solution directly returns a provably stabilizing controller and ensures H₂ or H_∞ performance. We further present relaxations that considerably reduce the computational cost, still without requiring stabilizability of any of the switching modes. Finally, we showcase the flexibility of our approach on the constrained stabilization problem for an unknown perturbed linear system. We validate our theoretical findings numerically, demonstrating the favorable trade-off between conservatism and tractability achieved by the proposed relaxations.

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This paper builds Wasserstein ambiguity sets for the unknown probability distribution of dynamic random variables leveraging noisy partial-state observations. The constructed ambiguity sets contain the true distribution of the data with quantifiable probability and can be exploited to formulate robust stochastic optimization problems with out-of-sample guarantees. We assume the random variable evolves in discrete time under uncertain initial conditions and dynamics, and that noisy partial measurements are available. All random elements have unknown probability distributions and we make inferences about the distribution of the state vector using several output samples from multiple realizations of the process. To this end, we leverage an observer to estimate the state of each independent realization and exploit the outcome to construct the ambiguity sets. We illustrate our results in an economic dispatch problem involving distributed energy resources over which the scheduler has no direct control.

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This paper provides a data-driven solution to the problem of coverage control by which a team of robots aims to optimally deploy in a spatial region where certain event of interest may occur. This event is random and described by a probability density function, which is unknown and can only be learned by collecting data. In this work, we hedge against this uncertainty by designing a distributionally robust algorithm that optimizes the locations of the robots against the worst-case probability density from an ambiguity set. This ambiguity set is constructed from data initially collected by the agents, and contains the true density function with prescribed confidence. However, the objective function that the robots seek to minimize is non-smooth. To address this issue, we employ the so-called gradient sampling algorithm, which approximates the Clarke generalized gradient by sampling the derivative of the objective function at nearby locations and stabilizes the choice of descent directions around points where the function may fail to be differentiable. This enables us to prove that the algorithm converges to a stationary point from any initial location of the robots, in analogy to the well-known Lloyd algorithm for differentiable costs when the spatial density is known.

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This paper introduces a spectral parameterization of ambiguity sets to hedge against distributional uncertainty in stochastic optimization problems. We build an ambiguity set of probability densities around a histogram estimator, which is constructed by independent samples from the unknown distribution. The densities in the ambiguity set are determined by bounding the distance between the coefficients of their Haar wavelet expansion and the expansion of the histogram estimator. This representation facilitates the computation of expectations, leading to tractable minimax problems that are linear in the parameters of the ambiguity set, and enables the inclusion of additional constraints that can capture valuable prior information about the unknown distribution.@en