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Trading performance for state constraint feasibility in stochastic constrained control: A randomized approach.
- Source :
-
Journal of the Franklin Institute . Jan2017, Vol. 354 Issue 1, p501-529. 29p. - Publication Year :
- 2017
-
Abstract
- Constrained control for stochastic linear systems is generally a difficult task due to the possible infeasibility of state constraints. In this paper, we focus on a finite control horizon and propose a design methodology where the constrained control problem is formulated as a chance-constrained optimization problem depending on some parameter. This parameter can be tuned so as to decide the appropriate trade-off between control cost minimization and state constraints satisfaction. An approximate solution is computed via a randomized algorithm. Precise guarantees about its feasibility for the original chance-constrained problem are provided. A numerical example shows the efficacy of the proposed methodology. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00160032
- Volume :
- 354
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Journal of the Franklin Institute
- Publication Type :
- Periodical
- Accession number :
- 120409587
- Full Text :
- https://doi.org/10.1016/j.jfranklin.2016.10.019