Robust optimal experiment design is an infinite dimensional optimisation problem. Typically it is solved by discretisation of the design space resulting in a discrete semi-infinite convex programming problem which is computationally expensive. In this paper we propose a new computational approach to solve robust optimal experiment design problems based on a recently developed method for robust convex optimisation known as the 'scenario approach'.
15th IFAC Symposium on System Identification (SYSID 2009). Proceedings of the 15th IFAC Symposium on System Identification (Saint-Malo, France 6-8 July, 2009) p. 186-191