at Google ScholarTitle data
Schießl, Jonas ; Ou, Ruchuan ; Baumann, Michael Heinrich ; Faulwasser, Timm ; Grüne, Lars:
Towards turnpike-based performance analysis of risk-averse stochastic predictive control.
Bayreuth
,
2025
. - 7 S.
DOI: https://doi.org/10.48550/arXiv.2504.00701
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
In this paper, we present performance estimates for stochastic economic MPC schemes with risk-averse cost formulations. For MPC algorithms with costs given by the expectation of stage cost evaluated in random variables, it was recently shown that the guaranteed near-optimal performance of abstract MPC in random variables coincides with its implementable variant coincide using measure path-wise feedback. In general, this property does not extend to costs formulated in terms of risk measures. However, through a turnpike-based analysis, this paper demonstrates that for a particular class of risk measures, this result can still be leveraged to formulate an implementable risk-averse MPC scheme, resulting in near-optimal averaged performance.