Uncertainty propagation with Semidefinite Programming

Hyungjin Choi, Peter J. Seiler, Sairaj V. Dhople

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations


This paper outlines an optimization-based method to estimate the reach set of a system while acknowledging unknown-but-bounded input and parametric uncertainty in the underlying dynamical model. The approach is grounded in a second-order Taylor-series expansion of the system's state variables along the solution trajectories as a function of the uncertain elements. Subsequently, over the time horizon of interest, Quadratically Constrained Quadratic Programs (QCQPs) are formulated to estimate maximum and minimum bounds on the state variables to recover the reach set. To contend with the nonconvexity of the QCQPs, Lagrangian relaxations are leveraged to formulate Semidefinite Programs (SDPs) that provide guaranteed bounds to the solutions of the QCQPs. Applications of the method to quantify the impact of uncertain power injections in power-system dynamic models are demonstrated with numerical examples.

Original languageEnglish (US)
Title of host publication54rd IEEE Conference on Decision and Control,CDC 2015
PublisherInstitute of Electrical and Electronics Engineers Inc.
Number of pages6
ISBN (Electronic)9781479978861
StatePublished - Feb 8 2015
Event54th IEEE Conference on Decision and Control, CDC 2015 - Osaka, Japan
Duration: Dec 15 2015Dec 18 2015

Publication series

NameProceedings of the IEEE Conference on Decision and Control
Volume54rd IEEE Conference on Decision and Control,CDC 2015
ISSN (Print)0743-1546
ISSN (Electronic)2576-2370


Other54th IEEE Conference on Decision and Control, CDC 2015

Bibliographical note

Publisher Copyright:
© 2015 IEEE.


  • Quadratically Constrained Quadratic Programming
  • Reachability analysis
  • Semidefinite Programming
  • Sensitivity analysis
  • Uncertainty propagation


Dive into the research topics of 'Uncertainty propagation with Semidefinite Programming'. Together they form a unique fingerprint.

Cite this