On Stochastic Model Predictive Control with Bounded Control Inputs

Details On Stochastic Model Predictive Control with Bounded Control Inputs On Stochastic Model Predictive Control with Bounded Control Inputs

2009-02-23

arxiv.org/abs/0902.3944v1

Proceedings of the 48th IEEE Conference on Decision & Control, 2009, pages 6359 - 6364

Mathematics

Optimization and Control

8 pages

Scientific paper

10.1109/CDC.2009.5399951

This paper is concerned with the problem of Model Predictive Control and Rolling 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 in both cases. 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 Model Predictive Control and Rolling Horizon Control policies, is bounded. Finally, we provide some numerical examples on how certain matrices in the underlying mathematical program can be calculated off-line.

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