Performance bounds for linear stochastic control

DOI10.1016/J.SYSCONLE.2008.10.004MaRDI QIDQ1016592zbMATH OpenOpenAlexFDO

Authors Yang Wang, Stephen Boyd

Publication date 6 May 2009

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2008.10.004

zbMATH Keywords

convex optimizationlinear matrix inequalitymodel predictive controlstochastic control

Mathematics Subject Classification ID

Convex programming (90C25) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03)

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Cited in

(8)

• Stochastic receding horizon control with output feedback and bounded controls
• Robust economic model predictive control using stochastic information
• Approximate dynamic programming via iterated Bellman inequalities
• Multi-period liability clearing via convex optimal control
• Quadratic approximate dynamic programming for input-affine systems
• Linearly solvable stochastic control Lyapunov functions
• Robust reliability method for non-fragile guaranteed cost control of parametric uncertain systems
• Performance bounds and suboptimal policies for linear stochastic control via LMIs

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Uses Software

• fast_mpc

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