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

Fajin Wei; Andrea Lecchini-Visintini

doi:10.1016/j.sysconle.2013.11.004

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

Fajin Wei
, Andrea Lecchini-Visintini^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	43-49
Number of pages	7
Journal	Systems and Control Letters
Volume	63
Issue number	1
DOIs	https://doi.org/10.1016/j.sysconle.2013.11.004
Publication status	Published - Jan 2014
Externally published	Yes

Keywords

Hamilton-Jacobi-Bellman equations
Itô's formula
Lyapunov functions
Optimal investment
Receding horizon control
Stochastic differential equations
Stochastic optimal control

Access to Document

10.1016/j.sysconle.2013.11.004

Cite this

@article{2faf0c8726884393b501afbb10e50c3e,

title = "On the stability of receding horizon control for continuous-time stochastic systems",

abstract = "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.",

keywords = "Hamilton-Jacobi-Bellman equations, It{\^o}'s formula, Lyapunov functions, Optimal investment, Receding horizon control, Stochastic differential equations, Stochastic optimal control",

author = "Fajin Wei and Andrea Lecchini-Visintini",

note = "Funding Information: The authors gratefully acknowledge the constructive comments of an anonymous referee. This work was supported by EPSRC Research Grant EP/H021558/1 .",

year = "2014",

month = jan,

doi = "10.1016/j.sysconle.2013.11.004",

language = "English",

volume = "63",

pages = "43--49",

journal = "Systems and Control Letters",

issn = "0167-6911",

number = "1",

}

TY - JOUR

T1 - On the stability of receding horizon control for continuous-time stochastic systems

AU - Wei, Fajin

AU - Lecchini-Visintini, Andrea

N1 - Funding Information: The authors gratefully acknowledge the constructive comments of an anonymous referee. This work was supported by EPSRC Research Grant EP/H021558/1 .

PY - 2014/1

Y1 - 2014/1

N2 - 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.

AB - 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.

KW - Hamilton-Jacobi-Bellman equations

KW - Itô's formula

KW - Lyapunov functions

KW - Optimal investment

KW - Receding horizon control

KW - Stochastic differential equations

KW - Stochastic optimal control

UR - https://www.scopus.com/pages/publications/84889688104

U2 - 10.1016/j.sysconle.2013.11.004

DO - 10.1016/j.sysconle.2013.11.004

M3 - Article

AN - SCOPUS:84889688104

SN - 0167-6911

VL - 63

SP - 43

EP - 49

JO - Systems and Control Letters

JF - Systems and Control Letters

IS - 1

ER -

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

Abstract

Keywords

Access to Document

Other files and links

Cite this