Stochastic Model Predictive Control with Discounted Probabilistic Constraints
Stochastic Model Predictive Control with Discounted Probabilistic Constraints
This paper considers linear discrete-time systems with additive disturbances, and designs a Model Predictive Control (MPC) law to minimise a quadratic cost function subject to a chance constraint. The chance constraint is defined as a discounted sum of violation probabilities on an infinite horizon. By penalising violation probabilities close to …