Performance bounds for linear stochastic control

DOI10.1016/J.SYSCONLE.2008.10.004zbMATH Open1159.93356OpenAlexW2097886690MaRDI QIDQ1016592FDOQ1016592

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

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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)

Cites Work

• Numerical Optimization
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• Linear Matrix Inequalities in System and Control Theory
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• Interior-point methods
• Semidefinite Programming
• Predictive control with constraints
• On a quadratic matrix inequality and the corresponding algebraic Riccati equation†
• Introduction to stochastic control theory
• Dynamic programming and optimal control. Vol. 1.
• A Lyapunov-Like Characterization of Asymptotic Controllability
• The explicit linear quadratic regulator for constrained systems
• The Riccati equation
• Model predictive control. With a foreword by M. J. Grimble and M. A. Johnson
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• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
• On Performance Bounds for Uncertain Systems
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• Suboptimal control of constrained nonlinear systems via receding horizon constrained control Lyapunov functions
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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

Uses Software

• fast_mpc

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