Trading performance for state constraint feasibility in stochastic constrained control: A randomized approach |
| |
| Authors: | Luca Deori Simone Garatti Maria Prandini |
| |
| Institution: | Dipartimento di Elettronica, Informazione e Bioingegneria, Politecnico di Milano, Piazza Leonardo da Vinci 32, 20113 Milano, Italy |
| |
| 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. |
| |
| Keywords: | Corresponding author |
| 本文献已被 ScienceDirect 等数据库收录！ |
