Stochastic Receding Horizon Control With Bounded Control Inputs: A Vector Space Approach

DOI10.1109/TAC.2011.2159422MaRDI QIDQ5347903zbMATH OpenFDO

Authors Debasish Chatterjee, John Lygeros, Peter Hokayem

Publication date 25 August 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0903.5444

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Control/observation systems involving computers (process control, etc.) (93C83) Stochastic systems in control theory (general) (93E03)

Abstract: We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances, while obeying hard bounds on the control inputs. We pose the problem of selecting an appropriate optimal controller on vector spaces of functions and show that the resulting optimization problem has a tractable convex solution. Under the assumption that the zero-input and zero-noise system is asymptotically stable, we show that the variance of the state is bounded when enforcing hard bounds on the control inputs, for any receding horizon implementation. Throughout the article we provide several examples that illustrate how quantities needed in the formulation of the resulting optimization problems can be calculated off-line, as well as comparative examples that illustrate the effectiveness of our control strategies.

Cited in

(22)

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• Constraint-softening in model predictive control with off-line-optimized admissible sets for systems with additive and multiplicative disturbances
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• Stability analysis of discrete-time positive polynomial-fuzzy-model-based control systems through fuzzy co-positive Lyapunov function with bounded control
• Sparse and constrained stochastic predictive control for networked systems
• Resource efficient stochastic predictive control under packet dropouts
• On the coupling of model predictive control and robust Kalman filtering
• A stochastic receding horizon control approach to constrained index tracking

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