On the Stability of Receding Horizon Control for Continuous-Time Stochastic Systems
نویسندگان
چکیده
We study the stability of receding horizon control for continuous-time non-linear stochastic differential equations. We illustrate the results with a simulation example in which we employ receding horizon control to design an investment strategy to repay a debt.
منابع مشابه
Optimal Receding Horizon Filter for Continuous-Time Nonlinear Stochastic Systems
A receding horizon filtering problem for nonlinear continuous-time stochastic systems is considered. The paper presents the optimal receding horizon filtering equations. Derivation of the equations is based on the Kushner-Stratonovich and Fokker-Planck-Kolmogorov equations for conditional and unconditional density functions. This result could be a theoretical basis for the optimal control in no...
متن کاملStochastic 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.
متن کاملReceding Horizon Based Control of Disturbed Upright Balance with Consideration of Foot Tilting(RESEARCH NOTE)
In some situations, when an external disturbance occurs, humans can rock stably backward and forward by lifting the toe or the heel to keep the upright balance without stepping. Many control schemes have been proposed for standing balance control under external disturbances without stepping. But, in most of them researchers have only considered a flat foot phase. In this paper a framework is pr...
متن کاملAnalysis of Applying Event-triggered Strategy on the Model Predictive Control
In this paper, the event-triggered strategy in the case of finite-horizon model predictive control (MPC) is studied and its advantages over the input to state stability (ISS) Lyapunov based triggering rule is discussed. In the MPC triggering rule, all the state trajectories in the receding horizon are considered to obtain the triggering rule. Clearly, the finite horizon MPC is sub-optimal with ...
متن کاملA Comparison of Robust and Stochastic Receding Horizon Control
In this thesis we study receding horizon control strategies for stochastic discrete-time linear systems with additive noise. This study is divided into two parts: First, we compare the performance of different receding horizon control techniques under constrained and unconstrained control input settings for some representative systems. It appears from our simulations that while in an unconstrai...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Systems & Control Letters
دوره 63 شماره
صفحات -
تاریخ انتشار 2014