On Stability and Performance of Stochastic Predictive Control Techniques

DOI10.1109/TAC.2014.2335274MaRDI QIDQ2982858zbMATH OpenFDO

Authors Debasish Chatterjee, John Lygeros

Publication date 16 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.2581

Mathematics Subject Classification ID

Stochastic stability in control theory (93E15)

Abstract: This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate selections of cost functions in the underlying finite-horizon optimal control problem. We also obtain quantitative bounds on the performance of the system under receding horizon policies as measured by the long-run expected average cost. The results are illustrated with the help of several simple examples.

Cited in

(15)

• On stabilization of Itô stochastic time-varying systems
• Stochastic output-feedback model predictive control
• Ambiguity tube MPC
• Stochastic predictive control under intermittent observations and unreliable actions
• Predictive control of discrete time stochastic nonlinear state space dynamical systems: a particle nonparametric approach
• Receding horizon control for multiplicative noise stochastic systems with input delay
• Online learning based risk-averse stochastic MPC of constrained linear uncertain systems
• Reference tracking stochastic model predictive control over unreliable channels and bounded control actions
• Stochastic model predictive control with joint chance constraints
• Control of Stochastic Systems Based on the Predictive Models of Random Sequences
• Massively parallelizable proximal algorithms for large‐scale stochastic optimal control problems
• Adaptive stochastic model predictive control via network ensemble learning
• Sparse and constrained stochastic predictive control for networked systems
• Resource efficient stochastic predictive control under packet dropouts
• Recursive feasibility of nonlinear stochastic model predictive control with Gaussian process dynamics

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