eprintid: 2283
rev_number: 9
eprint_status: archive
userid: 6
dir: disk0/00/00/22/83
datestamp: 2014-09-19 07:24:07
lastmod: 2014-11-17 13:01:55
status_changed: 2014-09-19 07:24:07
type: article
metadata_visibility: show
creators_name: Patrinos, Panagiotis
creators_name: Sopasakis, Pantelis
creators_name: Sarimveis, Haralambos
creators_name: Bemporad, Alberto
creators_id: panagiotis.patrinos@imtlucca.it
creators_id: pantelis.sopasakis@imtlucca.it
creators_id: 
creators_id: alberto.bemporad@imtlucca.it
title: Stochastic model predictive control for constrained discrete-time Markovian switching systems 
ispublished: pub
subjects: TJ
subjects: TL
divisions: CSA
full_text_status: none
keywords: Stochastic model predictive control; Control of constrained systems; Stochastic switching systems
abstract: 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. 
date: 2014-10
publication: Automatica
volume: 50
number: 10
publisher: Elsevier 
pagerange: 2504-2514
id_number: 10.1016/j.automatica.2014.08.031
refereed: TRUE
issn: 0005-1098
official_url: http://www.sciencedirect.com/science/article/pii/S0005109814003471
citation:   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)