Nonlinear stochastic receding horizon control: stability, robustness and Monte Carlo methods for control approximation

DOI10.1080/00207179.2017.1349340zbMATH Open1403.93194arXiv1507.02780OpenAlexW2236910048MaRDI QIDQ4561005FDOQ4561005

F. Bertoli, Adrian N. Bishop

Publication date: 10 December 2018

Published in: International Journal of Control (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1507.02780

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

zbMATH Keywords

Monte Carlo methodscontrol approximationnonlinear stochastic receding horizon control

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sensitivity (robustness) (93B35) Nonlinear systems in control theory (93C10) Stochastic stability in control theory (93E15) Optimal stochastic control (93E20) Software, source code, etc. for problems pertaining to systems and control theory (93-04)

Cites Work

• Inference in hidden Markov models.
• Title not available (Why is that?)
• Constrained model predictive control: Stability and optimality
• Controlled Markov processes and viscosity solutions
• Title not available (Why is that?)
• Multilevel Monte Carlo Path Simulation
• Title not available (Why is that?)
• Control of a Solution of a Stochastic Integral Equation
• Max-plus methods for nonlinear control and estimation.
• Receding horizon control of nonlinear systems
• Title not available (Why is that?)
• A survey of numerical methods for stochastic differential equations
• A receding-horizon regulator for nonlinear systems and a neural approximation
• Lyapunov-based model predictive control of stochastic nonlinear systems
• Robust receding horizon control of constrained nonlinear systems
• Unconstrained receding-horizon control of nonlinear systems
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• A generalized path integral control approach to reinforcement learning
• Efficient computation of optimal actions
• Graphical model inference in optimal control of stochastic multi-agent systems
• Stability margins of nonlinear receding-horizon control via inverse optimality
• Sequential Monte Carlo for Model Predictive Control
• PF-MPC: particle filter-model predictive control
• Particle predictive control
• Path integrals and symmetry breaking for optimal control theory
• Robust model predictive control for nonlinear discrete‐time systems
• Explicit solution of relative entropy weighted control
• On the robustness of receding-horizon control with terminal constraints
• A receding-horizon approach to the nonlinear \(H_{\infty}\) control problem
• Regularity properties for general HJB equations: a backward stochastic differential equation method
• Stabilizing receding-horizon control of nonlinear time-varying systems
• Iterative linearization methods for approximately optimal control and estimation of non-linear stochastic system
• On the stability of receding horizon control for continuous-time stochastic systems

Cited In (2)

• Heterogeneous recurrence monitoring and control of nonlinear stochastic processes
• A multilevel approach for stochastic nonlinear optimal control

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)