Title :
Stochastic Receding Horizon Control With Bounded Control Inputs: A Vector Space Approach
Author :
Chatterjee, Debasish ; Hokayem, Peter ; Lygeros, John
Author_Institution :
Syst. & Control Eng. Dept., In dian Inst. of Technol., Mumbai, India
Abstract :
We design receding horizon control strategies for stochastic discrete-time linear systems with additive (possibly) unbounded disturbances while satisfying hard bounds on the control actions. We pose the problem of selecting an appropriate optimal controller on vector spaces of functions and show that the resulting optimization problem has a tractable convex solution. Under marginal stability of the zero-control and zero-noise system we synthesize receding horizon polices that ensure bounded variance of the states while enforcing hard bounds on the controls. We provide examples that illustrate the effectiveness of our control strategies, and how quantities needed in the formulation of the resulting optimization problems can be calculated off-line.
Keywords :
discrete time systems; linear systems; optimal control; optimisation; stability; stochastic systems; additive unbounded disturbance; bounded variance; marginal stability; optimal controller; optimization problem; receding horizon control design; stochastic discrete time linear system; tractable convex solution; vector spaces; zero control system; zero noise system; Aerospace electronics; Noise; Optimization; Predictive control; Predictive models; Robustness; Stochastic processes; Constrained control; receding horizon control; stochastic control;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2011.2159422