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arXiv · 2403.15159

Near-optimal performance of stochastic economic MPC

Jonas Schießl·Ruchuan Ou·Timm Faulwasser·Michael H. Baumann·Lars Grüne
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Abstract

This paper presents first results for near optimality in expectation of the closed-loop solutions for stochastic economic MPC. The approach relies on a recently developed turnpike property for stochastic optimal control problems at an optimal stationary process, combined with techniques for analyzing time-varying economic MPC schemes. We obtain near optimality in finite time as well as overtaking and average near optimality on infinite time horizons.

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Jonas Schießl, Ruchuan Ou, Timm Faulwasser, Michael H. Baumann, Lars Grüne. 2024-03-22. Near-optimal performance of stochastic economic MPC. https://doi.org/10.1109/cdc56724.2024.10886281

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