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Stochastic model predictive control with discounted probabilistic constraints

Abstract:

This paper considers linear discrete-time systems with additive disturbances, and designs a Model Predictive Control (MPC) law to minimise a quadratic cost function subject to a chance constraint. The chance constraint is defined as a discounted sum of violation probabilities on an infinite horizon. By penalising violation probabilities close to the initial time and ignoring violation probabilities in the far future, this form of constraint enables the feasibility of the online optimisation t...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted manuscript

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Publisher copy:
10.23919/ECC.2018.8550520

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Institution:
University of Oxford
Division:
MPLS Division
Department:
Engineering Science
More by this author
Institution:
University of Oxford
Division:
MPLS Division
Department:
Engineering Science
More by this author
Institution:
University of Oxford
Division:
MPLS Division
Department:
Engineering Science
Oxford college:
St Johns College
Publisher:
Institute of Electrical and Electronics Engineers Publisher's website
Publication date:
2018-11-29
Acceptance date:
2018-02-08
DOI:
Pubs id:
pubs:854359
URN:
uri:86384bf2-bbac-4ad4-95f8-94bddd654a12
UUID:
uuid:86384bf2-bbac-4ad4-95f8-94bddd654a12
Local pid:
pubs:854359

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