On convex problems in chance-constrained stochastic model predictive control
- Working Paper
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then reformulated in terms of probabilistic constraints. It is shown that, for a suitable parametrization of the control policy, a wide class of the resulting optimization problems are convex, or admit reasonable convex approximations Show more
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SubjectStochastic control; Convex optimization; Probabilistic constraints
NotesSubmitted on 21 May 2009.
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