Stability and performance of stochastic predictive control

Debasish Chatterjee; John Lygeros

doi:10.1109/tac.2014.2335274

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arXiv · 1304.2581

Stability and performance of stochastic predictive control

Debasish Chatterjee·John Lygeros

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Abstract

This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate selections of cost functions in the underlying finite-horizon optimal control problem. We also obtain quantitative bounds on the performance of the system under receding horizon policies as measured by the long-run expected average cost. The results are illustrated with the help of several simple examples.

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BibTeX RIS

Debasish Chatterjee, John Lygeros. 2013-04-09. Stability and performance of stochastic predictive control. https://doi.org/10.1109/tac.2014.2335274

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