eprintid: 534
rev_number: 11
eprint_status: archive
userid: 7
dir: disk0/00/00/05/34
datestamp: 2011-07-27 08:47:26
lastmod: 2011-08-05 13:52:41
status_changed: 2011-07-27 08:47:26
type: book_section
metadata_visibility: show
contact_email: alberto.bemporad@imtlucca.it
item_issues_count: 0
creators_name: Muñoz de la Peña, David
creators_name: Bemporad, Alberto
creators_name: Alamo, Teodoro
creators_id: 
creators_id: alberto.bemporad@imtlucca.it
creators_id: 
title: Stochastic programming applied to model predictive control
ispublished: pub
subjects: QA
subjects: QA75
divisions: CSA
full_text_status: none
keywords: Predictive control for linear systems; Robust control; Stochastic systems
abstract: Many robust model predictive control (MPC) schemes are based on min-max optimization, that is, the future control input trajectory is chosen as the one which minimizes the performance due to the worst disturbance realization. In this paper we take a different route to solve MPC problems under uncertainty. Disturbances are modelled as random variables and the expected value of the performance index is minimized. The MPC scheme that can be solved using Stochastic Programming (SP), for which several efficient solution techniques are available. We show that this formulation guarantees robust constraint fulfillment and that the expected value of the optimum cost function of the closed loop system decreases at each time step. 
date: 2005
date_type: published
publication: Decision and Control and European Control Conf.
publisher: IEEE
place_of_pub: 12th-15th December 2005
pagerange: 1361-1366
event_title: 44th IEEE Conference on Decision and Control and European Control Conference
event_location: 12th-15th December 2005
event_dates: Sevilla, Spain
id_number: 10.1109/CDC.2005.1582348
refereed: TRUE
isbn: 0-7803-9567-0 
book_title: Decision and Control and European Control Conference
official_url: http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=1582348&isnumber=33412
citation:   Muñoz de la Peña, David and Bemporad, Alberto and Alamo, Teodoro  Stochastic programming applied to model predictive control.   In:  Decision and Control and European Control Conference.   IEEE, 12th-15th December 2005, pp. 1361-1366.  ISBN 0-7803-9567-0       (2005)