relation: http://eprints.imtlucca.it/2283/
title: Stochastic model predictive control for constrained discrete-time Markovian switching systems 
creator: Patrinos, Panagiotis
creator: Sopasakis, Pantelis
creator: Sarimveis, Haralambos
creator: Bemporad, Alberto
subject: TJ Mechanical engineering and machinery
subject: TL Motor vehicles. Aeronautics. Astronautics
description: In this paper we study constrained stochastic optimal control problems for Markovian switching systems, an extension of Markovian jump linear systems (MJLS), where the subsystems are allowed to be nonlinear. We develop appropriate notions of invariance and stability for such systems and provide terminal conditions for stochastic model predictive control (SMPC) that guarantee mean-square stability and robust constraint fulfillment of the Markovian switching system in closed-loop with the {SMPC} law under very weak assumptions. In the special but important case of constrained {MJLS} we present an algorithm for computing explicitly the {SMPC} control law off-line, that combines dynamic programming with parametric piecewise quadratic optimization. 
publisher: Elsevier 
date: 2014-10
type: Article
type: PeerReviewed
identifier:   Patrinos, Panagiotis and Sopasakis, Pantelis and Sarimveis, Haralambos and Bemporad, Alberto  Stochastic model predictive control for constrained discrete-time Markovian switching systems.  Automatica, 50 (10).  pp. 2504-2514.  ISSN 0005-1098      (2014)  
relation: http://www.sciencedirect.com/science/article/pii/S0005109814003471
relation: 10.1016/j.automatica.2014.08.031