A stochastic receding-horizon control approach for constrained Linear Parameter Varying discrete-time systems is proposed in this paper. It is assumed that the time-varying parameters have stochastic nature and that the system’s matrices are bounded but otherwise arbitrary nonlinear functions of these parameters. No specific assumption on the statistics of the parameters is required. By using a...

This paper investigates finite-horizon optimal control problem of completely unknown discrete-time linear systems. The here refers to that the system dynamics are unknown. Compared with infinite-horizon control, Riccati equation (RE) is time-dependent and must meet certain terminal boundary constraints, which brings greater challenges. Meanwhile, have also caused additional main innovation this...

The theory of optimum economic growth has centred around the 1928 paper of Ramsey and extensively developed by subsequent authors. Samuelson and Solow extended Ramsey's analysis to a world involving multiple capital goods. Following Ramsey's formulation of his problem in terms of constrained maximization of an integral over infinite time, Tinbergen, Koopmans, Cass, Weizacker and Mirrlees worked...

Control theory is often interested in studying stability and stabilization of dynamical systems in an infinite time horizon. However, in many practical situations, focusing on the system behavior in a finite time interval is more important than requiring the system to reach a given equilibrium. Analysis on finite time horizon can be useful, for example, to study state and output transients due ...

In this work we show that one can solve a finite horizon non-Markovian impulse control problem with dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such way the resulting trajectory becomes flow.