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

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...

书目详细资料
Main Authors:	Cannon, M, Kouvaritakis, B, Couchman, P
格式:	Journal article
语言:	English
出版:	2008

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