The benefit of receding horizon control: Near-optimal policies for stochastic inventory control

Receding Horizon Optimal Control for Some Stochastic Hybrid Systems

We consider optimal control problems for a class of hybrid systems with switches dependent on an external event process. In the case where all event times in this process are fully known, the solution to such problems was obtained in prior work. When event times are uncertain or unknown, we have proposed a Receding Horizon (RH) control scheme in which only some future event information is avail...

Near-Optimal Missile Avoidance Trajectories via Receding Horizon Control

This paper introduces a receding horizon control scheme for obtaining near-optimal controls in a feedback form for an aircraft trying to avoid a closing air-to-air missile. The vehicles are modeled as point masses. Rotation kinematics of the aircraft are taken into account by limiting the pitch and roll rates as well as the angular accelerations of the angle of attack and the bank angle. The mi...

Stochastic Receding Horizon Control: Stability Results

We present new results on stochastic stability of linear discrete-time systems with additive uncertainty under several receding horizon control policies. We guarantee bounded variance of the closed-loop system under each policy via appending a stability constraint to the existing optimization routine of the corresponding policy.

Approximation properties of receding horizon optimal control

In this survey, receding horizon control is presented as a method for obtaining approximately optimal solutions to infinite horizon optimal control problems by iteratively solving a sequence of finite horizon optimal control problems. We investigate conditions under which we can obtain mathematically rigorous approximation results for this approach. A key ingredient of our analysis is the so-ca...

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran