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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí: Cannon, M, Kouvaritakis, B, Couchman, P
Formáid: Journal article
Teanga:English
Foilsithe / Cruthaithe: 2008