Journal
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
Volume 54, Issue 2, Pages 221-230Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TAC.2008.2010886
Keywords
Constraints; linear system; model predictive control; multiplicative noise; receding horizon control; stochastic control
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We develop a receding horizon control approach to stochastic linear systems with control and state multiplicative noise that also contain constraints. Our receding horizon formulation is based upon an on-line optimization that utilizes open-loop plus linear feedback and is solved as a semi-definite programming problem. We also provide a characterization of stability, performance, and constraint satisfaction properties of the receding horizon controlled system under a specific choice of terminal weight and terminal constraint. A simple numerical example is used to illustrate the approach.
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