On control of discrete-time state-dependent jump linear systems with probabilistic constraints: A receding horizon approach
Abstract
In this article, we consider a receding horizon control of discrete-time state-dependent jump linear systems, particular kind of stochastic switching systems, subject to possibly unbounded random disturbances and probabilistic state constraints. Due to a nature of the dynamical system and the constraints, we consider a one-step receding horizon. Using inverse cumulative distribution function, we convert the probabilistic state constraints to deterministic constraints, and obtain a tractable deterministic receding horizon control problem. We consider the receding control law to have a linear state-feedback and an admissible offset term. We ensure mean square boundedness of the state variable via solving linear matrix inequalities off-line, and solve the receding horizon control problem on-line with control offset terms. We illustrate the overall approach applied on a macroeconomic system.
Keywords
Cite
@article{arxiv.1406.7629,
title = {On control of discrete-time state-dependent jump linear systems with probabilistic constraints: A receding horizon approach},
author = {Shaikshavali Chitraganti and Samir Aberkane and Christophe Aubrun and Guillermo Valencia-Palomo and Vasile Dragan},
journal= {arXiv preprint arXiv:1406.7629},
year = {2014}
}