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Near-optimal performance of stochastic economic MPC

Title data

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) : Proceedings. - Milan, Italy , 2024 . - pp. 2565-2571
ISBN 979-8-3503-1633-9
DOI: https://doi.org/10.1109/CDC56724.2024.10886281

This is the latest version of this item.

Official URL: Volltext

Project information

Project title:
Project's official title
Project's id
Stochastic Optimal Control and MPC - Dissipativity, Risk, and Performance
499435839
Project financing: Deutsche Forschungsgemeinschaft

Abstract in another language

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.

Further data

Item Type: Article in a book
Refereed: Yes
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
Profile Fields
Profile Fields > Advanced Fields
Profile Fields > Advanced Fields > Nonlinear Dynamics
Research Institutions
Research Institutions > Central research institutes
Research Institutions > Central research institutes > Bayreuth Research Center for Modeling and Simulation - MODUS
Result of work at the UBT: Yes
DDC Subjects: 500 Science > 510 Mathematics
Date Deposited: 03 Mar 2025 11:21
Last Modified: 06 Mar 2025 09:12
URI: https://eref.uni-bayreuth.de/id/eprint/92600

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