Optimal and Robust Control

Assigned (compulsory) reading

No assigned reading this week.

Recommended (not compulsory) further reading

The material covered (or actually just overviewed) in this lecture is very standard and described in gazillions of resources, both printed and online. Here we give our personal tips: the recently published [1] serves a good job of providing an overview and insight (furthermore, a short version is available online); [2] is a classic and very readable (my personal favorite, Luenberger is a terrific teacher); if you only want to own a single comprehensive and up-to-date book on optimization, [3] might be your choice – the book is a must for everyone working in the domain.

The lecture notes [4] serve a good job of introducing the very basic concepts in their chapter 2 roughly in the style and scope of our course. The same holds for Section 1.2 of [5].

Readable (engineering) introduction to the broad field of mathematical optimization that is also available freely online, is [6]. It seems carefully developed with a lot of insightful graphics. But the list of nicely crafted modern textbooks that are freely available online keeps expanding: [7] is certainly worth having a look at too, especially if you are interested in Julia (language).

1. L. E. Ghaoui, Optimization Models. Cambridge University Press, 2014. A shorter version of the books is available [ONLINE] at https://inst.eecs.berkeley.edu/~ee127/sp21/livebook/ (but if the link is broken, just have a look at their web page https://people.eecs.berkeley.edu/~elghaoui/optmodbook.html, they seem to be moving the online book from time to time).
2. D. G. Luenberger and Y. Ye, Linear and Nonlinear Programming, 4th edition. New York, NY: Springer, 2016.
3. J. Nocedal and S. Wright, Numerical Optimization, 2nd edition. New York: Springer, 2006.
4. M. Diehl. Numerical Optimal Control (Chapter 2). Lecture notes (draft). October 1, 2011. [ONLINE] downloadable at https://www.vehicular.isy.liu.se/Edu/Courses/NumericalOptimalControl/Diehl_NumOptiCon.pdf.
5. D. Liberzon. Calculus of Variations and Optimal Control Theory - A Concise Introduction (Section 1.2). Princeton University Press, 2012. Draft is available [ONLINE] at http://liberzon.csl.illinois.edu/teaching/cvoc/cvoc.html.
6. J. R. R. A. Martins and A. Ning. Engineering Design Optimization. Draft. [ONLINE] downloadable at http://flowlab.groups.et.byu.net/mdobook.pdf.
7. M. J. Kochfenderfer and T. A. Wheeler, Algorithms for Optimization. The MIT Press, 2019. [Online]. Available: https://algorithmsbook.com/optimization/.
   

Last but not least, some useful introductory text are also coming along with optimization software. Particularly recommendable are

1. “MOSEK Modeling Cookbook.” Mosek ApS, November 4, 2022. https://docs.mosek.com/MOSEKModelingCookbook-a4paper.pdf.
2. Tutorials on YALMIP web page: https://yalmip.github.io/tutorials/.