This paper presents first results for near optimality in expectation of the closed-loop solutions for stochastic economic MPC. The approach relies on a recently developed turnpike property for stochastic optimal control problems at an optimal stationary process, combined with techniques for analyzing time-varying economic MPC schemes. We obtain near optimality in finite time as well as overtaking and average near optimality on infinite time horizons.
@article{arxiv.2403.15159,
title = {Near-optimal performance of stochastic economic MPC},
author = {Jonas Schießl and Ruchuan Ou and Timm Faulwasser and Michael H. Baumann and Lars Grüne},
journal= {arXiv preprint arXiv:2403.15159},
year = {2025}
}