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In this paper, we study a class of robust design problems with polynomial dependence on the uncertainty. One of the main motivations for considering these problems comes from robust controller design, where one often encounters systems that depend polynomially on the uncertain parameters. This paper can be seen as integrated in the emerging area of probabilistic robustness, where a probabilistic relaxation of the original robust problem is adopted, thus requiring the satisfaction of the constraints not for all possible values of the uncertainty, but for most of them. Different from the randomized approach for tackling probabilistic relaxations, which is only guaranteed to provide soft bounds on the probability of satisfaction, we present a deterministic approach based on the novel concept of kinship function introduced in this paper. This allows the development of an original framework, which leads to easily computable deterministic convex relaxations of the probabilistic problem. In particular, optimal polynomial kinship functions are introduced, which can be computed a priori and once for all and provide the “best convex bound” on the probability of constraint violation. More importantly, it is proven that the solution of the relaxed problem converges to that of the original robust optimization problem as the degree of the optimal polynomial kinship function increases. Furthermore, by relying on quadrature formulas for computation of integrals of polynomials, it is shown that the computational complexity of the proposed approach is polynomial in the number of uncertain parameters. Finally, unlike other deterministic approaches to robust polynomial optimization, the number of variables in the ensuing optimization problem is not increased by the proposed approximation. An important feature of this approach is that a significant amount of the computational burden is shifted to a one-time offline computation whose results can be stored and provided to the end-user. [ABSTRACT FROM PUBLISHER]

Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference between existence of a solution and feasibility of a suitable, a priori known candidate solution. Subsequently, a Stochastic Model Predictive Control algorithm which unifies previous results is derived, leaving the designer the option to balance an increased feasible region against guaranteed bounds on the asymptotic average performance and convergence time. Besides typical performance bounds, under mild assumptions, we prove asymptotic stability in probability of the minimal robust positively invariant set obtained by the unconstrained LQ-optimal controller. A numerical example, demonstrating the efficacy of the proposed approach in comparison with classical, recursively feasible Stochastic MPC and Robust MPC, is provided. [ABSTRACT FROM PUBLISHER]