Stable stochastic receding horizon control of linear systems with bounded control inputs

Abstract

We address stability of receding horizon control for stochastic linear systems with additive noise and bounded control authority. We construct tractable and recursively feasible receding horizon control policies that ensure a mean-square bounded system in closed-loop if the noise has bounded forthorder moment, the unexcited system is stabilizable, the system matrix A is Lyapunov stable, and there is large enough control authority.