On the stability of receding horizon control for continuous-time stochastic systems

被引：8
|
作者：
Wei, Fajin [1 ,2 ]
Lecchini-Visintini, Andrea [2 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China
[2] Univ Leicester, Dept Engn, Leicester LE1 7RH, Leics, England
来源：
SYSTEMS & CONTROL LETTERS | 2014年 / 63卷
基金：
英国工程与自然科学研究理事会;
关键词：
Receding horizon control; Stochastic differential equations; Stochastic optimal control; Hamilton-Jacobi-Bellman equations; Lyapunov functions; Ito's formula; Optimal investment; MODEL-PREDICTIVE CONTROL; LINEAR-SYSTEMS; FEEDBACK; STATE;
D O I：
10.1016/j.sysconle.2013.11.004
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We study the stability of receding horizon control for continuous-time non-linear stochastic differential equations. We illustrate the results with a simulation example in which we employ receding horizon control to design an investment strategy to repay a debt. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：43 / 49
页数：7
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