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15 - General Engineering

University of Leicester

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Article title

On the stability of receding horizon control for continuous-time stochastic systems

Type

D - Journal article

DOI

10.1016/j.sysconle.2013.11.004

Title of journal

Systems & Control Letters

Article number

Volume number

n/a

Issue number

n/a

First page of article

ISSN of journal

0167-6911

Year of publication

2013

URL

Number of additional authors

Additional information

The extension of the receding horizon control approach from deterministic to stochastic systems is currently a very active area of research. This theoretical contribution is one of the first to deal with the formulation of stability conditions for receding horizon control schemes for systems described by continuous-time stochastic differential equations. The results are of important academic significance and have potential application in a variety of systems, from financial to aerospace. This paper is one of the main outputs of the EPSRC project "Optimization with Monte Carlo methods for the control of complex systems" (Ref. EP/H021558/1, PI: A. Lecchini-Visintini).

Interdisciplinary

Cross-referral requested

Research group

B - Control Systems

Proposed double-weighted

Double-weighted statement

Reserve for a double-weighted output

Non-English

English abstract