On 1-norm stochastic optimal control with bounded control inputs

This paper deals with the finite horizon stochastic optimal control problem with the expectation of the 1-norm as the objective function and jointly Gaussian, although not necessarily independent, disturbances. We develop an approximation strategy that solves the problem in a certain class of nonlinear feedback policies, while ensuring satisfaction of hard input constraints. A bound on suboptimality of the proposed strategy in the class of aforementioned nonlinear feedback policies is given as well as a simple proof of mean-square stability of a receding horizon implementation provided that the system matrix is Schur stable.


Published in:
Proceedings of the American Control Conference (ACC), 60 - 65
Presented at:
American Control Conference (ACC), San Francisco, California, USA, June 29 2011-July 1, 2011
Year:
2011
ISBN:
978-1-4577-0080-4
Laboratories:




 Record created 2012-03-16, last modified 2018-03-17

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