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On Stochastic Receding Horizon Control with Bounded Control Inputs

Author(s):

P. Hokayem, D. Chatterjee, J. Lygeros
Conference/Journal:

IEEE Conference on Decision and Control, pp. 6359-6364, Also available at: http://arxiv.org/abs/0902.3944
Abstract:

This paper is concerned with the problem of receding horizon control of discrete-time systems subject to possibly unbounded random noise inputs, while satisfying hard bounds on the control inputs. We use a nonlinear feedback policy with respect to noise measurements and show that the resulting mathematical program has a tractable convex solution. Moreover, under the assumption that the zero-input and zero-noise system is asymptotically stable, we show that the variance of the state, under the resulting receding horizon control policy, is bounded. Finally, we provide some numerical examples on how certain matrices in the underlying mathematical program can be calculated off-line.

Year:

2009
Type of Publication:

(01)Article
Supervisor:

J. Lygeros

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% Autogenerated BibTeX entry
@InProceedings { HokCha:2009:IFA_3275,
    author={P. Hokayem and D. Chatterjee and J. Lygeros},
    title={{On Stochastic Receding Horizon Control with Bounded Control
	  Inputs}},
    booktitle={IEEE Conference on Decision and Control},
    pages={6359--6364},
    year={2009},
    address={},
    month=dec,
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=3275}
}
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