Near-optimal performance of stochastic economic MPC

Titelangaben

Schießl, Jonas ; Ou, Ruchuan ; Faulwasser, Timm ; Baumann, Michael Heinrich ; Grüne, Lars:
Near-optimal performance of stochastic economic MPC.
In: 2024 IEEE 63rd Conference on Decision and Control (CDC). - Milan, Italy , 2024 . - S. 2565-2571
ISBN 979-8-3503-1633-9
DOI: https://doi.org/10.1109/CDC56724.2024.10886281

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Abstract

This paper presents first results for near optimality in expectation of the closed-loop solutions for stochastic economic MPC. The approach relies on a recently developed turnpike property for stochastic optimal control problems at an optimal stationary process, combined with techniques for analyzing time-varying economic MPC schemes. We obtain near optimality in finite time as well as overtaking and average near optimality on infinite time horizons.