Nonlinear stochastic receding horizon control: stability, robustness and Monte Carlo methods for control approximation
From MaRDI portal
Publication:4561005
Abstract: This work considers the stability of nonlinear stochastic receding horizon control when the optimal controller is only computed approximately. A number of general classes of controller approximation error are analysed including deterministic and probabilistic errors and even controller sample and hold errors. In each case, it is shown that the controller approximation errors do not accumulate (even over an infinite time frame) and the process converges exponentially fast to a small neighbourhood of the origin. In addition to this analysis, an approximation method for receding horizon optimal control is proposed based on Monte Carlo simulation. This method is derived via the Feynman-Kac formula which gives a stochastic interpretation for the solution of a Hamilton-Jacobi-Bellman equation associated with the true optimal controller. It is shown, and it is a prime motivation for this study, that this particular controller approximation method practically stabilises the underlying nonlinear process.
Recommendations
- Approximate nonlinear receding-horizon control laws in closed form
- On the stability of receding horizon control for continuous-time stochastic systems
- Receding horizon control of nonlinear systems
- Robust receding horizon control of constrained nonlinear systems
- Successive Linearization NMPC for a Class of Stochastic Nonlinear Systems
Cites work
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 3085434 (Why is no real title available?)
- A generalized path integral control approach to reinforcement learning
- A receding-horizon approach to the nonlinear \(H_{\infty}\) control problem
- A receding-horizon regulator for nonlinear systems and a neural approximation
- A survey of numerical methods for stochastic differential equations
- Constrained model predictive control: Stability and optimality
- Control of a Solution of a Stochastic Integral Equation
- Controlled Markov processes and viscosity solutions
- Efficient computation of optimal actions
- Explicit solution of relative entropy weighted control
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- Graphical model inference in optimal control of stochastic multi-agent systems
- Inference in hidden Markov models.
- Iterative linearization methods for approximately optimal control and estimation of non-linear stochastic system
- Lyapunov-based model predictive control of stochastic nonlinear systems
- Max-plus methods for nonlinear control and estimation.
- Multilevel Monte Carlo Path Simulation
- On the robustness of receding-horizon control with terminal constraints
- On the stability of receding horizon control for continuous-time stochastic systems
- PF-MPC: particle filter-model predictive control
- Particle predictive control
- Path integrals and symmetry breaking for optimal control theory
- Receding horizon control of nonlinear systems
- Regularity properties for general HJB equations: a backward stochastic differential equation method
- Robust model predictive control for nonlinear discrete‐time systems
- Robust receding horizon control of constrained nonlinear systems
- Sequential Monte Carlo for model predictive control
- Stability margins of nonlinear receding-horizon control via inverse optimality
- Stabilizing receding-horizon control of nonlinear time-varying systems
- Unconstrained receding-horizon control of nonlinear systems
Cited in
(2)
This page was built for publication: Nonlinear stochastic receding horizon control: stability, robustness and Monte Carlo methods for control approximation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4561005)
