Stochastic receding horizon control with output feedback and bounded control inputs

Details Stochastic receding horizon control with output feedback and bounded control inputs Stochastic receding horizon control with output feedback and bounded control inputs

2010-01-18

arxiv.org/abs/1001.3015v2

Mathematics

Optimization and Control

25 pages, 4 figures

Scientific paper

We provide a solution to the problem of receding horizon control for stochastic discrete-time systems with bounded control inputs and imperfect state measurements. For a suitable choice of control policies, we show that the finite-horizon optimization problem to be solved on-line is convex and successively feasible. Due to the inherent nonlinearity of the feedback loop, a slight extension of the Kalman filter is exploited to estimate the state optimally in mean-square sense. We show that the receding horizon implementation of the resulting control policies renders the state of the overall system mean-square bounded under mild assumptions. Finally, we discuss how some of the quantities required by the finite-horizon optimization problem can be computed off-line, reducing the on-line computation, and present some numerical examples.

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