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...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2008
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