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Performance bounds for stochastic receding horizon control with randomly sampled measurements

Title data

Tanwani, Aneel ; Chatterjee, Debasish ; Grüne, Lars:
Performance bounds for stochastic receding horizon control with randomly sampled measurements.
In: Proceedings of the 2019 IEEE Conference on Decision and Control (CDC), to appear. - Nice, France , 2019

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Abstract in another language

This article considers the problem of analyzing the performance of model predictive controllers in minimizing infinite-horizon cost functionals associated with stochastic dynamical systems when the measurements received by the controller are randomly sampled in time. In contrast to the standard model predictive control algorithms which rely on availability of the state measurements at all times, we compute control policies which minimize cost functionals over a (finite) rolling-horizon conditioned upon the information that arrives at random time instants; although a hard upper bound equal to the length of the optimization horizon is imposed on consecutive sampling instants. Sufficient conditions are provided on the system dynamics, the cost functionals, and the statistics of the sampling process, such that the proposed policies result in computable upper bounds on the infinite-horizon average cost. The case of linear time-varying system with quadratic cost functionals is studied for the illustration of our results.

Further data

Item Type: Article in a book
Refereed: Yes
Keywords: Predictive control for nonlinear systems; Stochastic optimal control; Sampled-data control
Institutions of the University: Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne)
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Applied Mathematics (Applied Mathematics)
Profile Fields > Advanced Fields > Nonlinear Dynamics
Profile Fields
Profile Fields > Advanced Fields
Result of work at the UBT: Yes
DDC Subjects: 500 Science > 510 Mathematics
Date Deposited: 06 Nov 2019 10:30
Last Modified: 11 Nov 2019 07:11
URI: https://eref.uni-bayreuth.de/id/eprint/53046