Stochastic receding horizon control with output feedback and bounded controls

• DOI: 10.1016/j.automatica.2011.09.048
• Publication Date: 2011-10-25T05:24:58Z
• Authors: Peter Hokayem; Eugenio Cinquemani; Debasish Chatterjee; Federico Ramponi; John Lygeros
• Keywords: Model Predictive Control; Stochastic control

We study the problem of receding horizon control for stochastic discrete-time systems with bounded control inputs and incomplete state information. Given a suitable choice of causal control policies, we first present a slight extension of the Kalman filter to estimate the state optimally in mean-square sense. We then show how to augment the underlying optimization problem with a negative drift-like constraint, yielding a second-order cone program to be solved periodically online. We prove that the receding horizon implementation of the resulting control policies renders the state of the overall system mean-square bounded under mild assumptions. We also discuss how some quantities required by the finite-horizon optimization problem can be computed off-line, thus reducing the on-line computation.