Performance bounds for linear stochastic control

DOI10.1016/j.sysconle.2008.10.004zbMath1159.93356OpenAlexW2097886690MaRDI QIDQ1016592

Yang Wang, Stephen P. Boyd

Publication date: 6 May 2009

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2008.10.004

zbMATH Keywords

convex optimizationlinear matrix inequalitystochastic controlmodel predictive control

Mathematics Subject Classification ID

Related Items (7)

Robust economic model predictive control using stochastic information ⋮ Multi-period liability clearing via convex optimal control ⋮ Stochastic receding horizon control with output feedback and bounded controls ⋮ Robust reliability method for non-fragile guaranteed cost control of parametric uncertain systems ⋮ Quadratic approximate dynamic programming for input‐affine systems ⋮ Performance bounds and suboptimal policies for linear stochastic control via LMIs ⋮ Approximate dynamic programming via iterated Bellman inequalities

Uses Software

• fast_mpc

Cites Work

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• On a quadratic matrix inequality and the corresponding algebraic Riccati equation†
• Numerical Optimization
• Linear Matrix Inequalities in System and Control Theory
• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
• Suboptimal control of constrained nonlinear systems via receding horizon constrained control Lyapunov functions
• Semidefinite Programming
• On Performance Bounds for Uncertain Systems
• The explicit linear quadratic regulator for constrained systems

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