A soft constraint approach to stochastic receding horizon control
- 1 January 2007
- conference paper
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- p. 4797-4802
- https://doi.org/10.1109/cdc.2007.4434064
Abstract
This paper presents a soft constraint approach to constrained stochastic receding horizon control for linear systems with state and control multiplicative noise. We formulate an on-line optimization that penalizes constraint violations and can be solved as a semi-definite program. Additionally, we prove stability results that guarantee asymptotic stability with probability one. A simple numerical example illustrates the approach.Keywords
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