Mean-variance receding horizon control for discrete time linear stochastic systems

A control strategy based on a mean-variance objective and expected value constraints is proposed for systems with additive and multiplicative stochastic uncertainty. Subject to a mean square stabilizability condition, the receding horizon objective can be obtained by solving a system of Lyapunov equ...

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Xehetasun bibliografikoak
Egile Nagusiak: Cannon, M, Kouvaritakis, B, Couchman, P
Formatua: Journal article
Hizkuntza:English
Argitaratua: 2008