Stochastic receding horizon control with output feedback and bounded controls
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Publication:445037
DOI10.1016/J.AUTOMATICA.2011.09.048zbMATH Open1244.93182arXiv1001.3015OpenAlexW2139614523MaRDI QIDQ445037FDOQ445037
Authors: Eugenio Cinquemani, Debasish Chatterjee, John Lygeros, Peter Hokayem, Federico Ramponi 
Publication date: 24 August 2012
Published in: Automatica (Search for Journal in Brave)
Abstract: We provide a solution to the problem of receding horizon control for stochastic discrete-time systems with bounded control inputs and imperfect state measurements. For a suitable choice of control policies, we show that the finite-horizon optimization problem to be solved on-line is convex and successively feasible. Due to the inherent nonlinearity of the feedback loop, a slight extension of the Kalman filter is exploited to estimate the state optimally in mean-square sense. We show that the receding horizon implementation of the resulting control policies renders the state of the overall system mean-square bounded under mild assumptions. Finally, we discuss how some of the quantities required by the finite-horizon optimization problem can be computed off-line, reducing the on-line computation, and present some numerical examples.
Full work available at URL: https://arxiv.org/abs/1001.3015
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Cited In (31)
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