Robust linear static anti-windup with probabilistic certificates

In this paper, we address robust static anti-windup compensator design and performance analysis for saturated linear closed loops in the presence of nonlinear probabilistic pa- rameter uncertainties via randomized techniques. The proposed static anti-windup analysis and robust performance synthesis cor- respond to several optimization goals, ranging from minimization of the nonlinear input/output gain to maximization of the stability region or maximization of the domain of attraction. We also introduce a novel paradigm accounting for uncertainties in the energy of the disturbance inputs. Due to the special structure of linear static anti-windup design, wherein the design variables are decoupled from the Lyapunov certificates, we introduce a significant extension, called scenario with certificates (SwC), of the so-called scenario approach for uncertain optimization problems. This extension is of inde- pendent interest for similar robust synthesis problems involv- ing parameter-dependent Lyapunov functions. We demonstrate that the scenario with certificates robust design formulation is appealing because it provides a way to implicitly design the parameter-dependent Lyapunov functions and to remove restric- tive assumptions about convexity with respect to the uncertain parameters. Subsequently, to reduce the computational cost, we present a sequential randomized algorithm for iteratively solving this problem. The obtained results are illustrated by numerical examples.