relation: http://eprints.imtlucca.it/1051/
title: Stabilizing model predictive control of stochastic constrained linear systems
creator: Bernardini, Daniele
creator: Bemporad, Alberto
subject: QA75 Electronic computers. Computer science
subject: TJ Mechanical engineering and machinery
description: This paper investigates stochastic stabilization procedures based on quadratic and piecewise linear Lyapunov functions for discrete-time linear systems affected by multiplicative disturbances and subject to linear constraints on inputs and states. A stochastic model predictive control (SMPC) design approach is proposed to optimize closed-loop performance while enforcing constraints. Conditions for stochastic convergence and robust constraints fulfillment of the closed-loop system are enforced by solving linear matrix inequality problems off line. Performance is optimized on line using multi-stage stochastic optimization based on enumeration of scenarios, that amounts to solving a quadratic program subject to either quadratic or linear constraints. In the latter case, an explicit form is computable to ease the implementation of the proposed SMPC law. The approach can deal with a very general class of stochastic disturbance processes with discrete probability distribution. The effectiveness of the proposed SMPC formulation is shown on a numerical example and compared to traditional MPC schemes.
publisher: IEEE 
date: 2012-07
type: Article
type: PeerReviewed
identifier:   Bernardini, Daniele and Bemporad, Alberto  Stabilizing model predictive control of stochastic constrained linear systems.  IEEE Transactions on Automatic Control , 57 (6).  1468 -1480 .  ISSN 0018-9286      (2012)  
relation: 10.1109/TAC.2011.2176429