Near-optimal performance of stochastic economic MPC

Abstract

This paper presents first results for near optimality in expectation of the closed-loop solutions for stochastic economic MPC. The approach relies on a recently developed turnpike property for stochastic optimal control problems at an optimal stationary process, combined with techniques for analyzing time-varying economic MPC schemes. We obtain near optimality in finite time as well as overtaking and average near optimality on infinite time horizons.

References in corpus (2)

• Stability and performance of stochastic predictive control
• Pathwise turnpike and dissipativity results for discrete-time stochastic linear-quadratic optimal control problems

Cited by in corpus (1)

• On the relationship between stochastic turnpike and dissipativity notions