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Finite Receding Horizon Linear Quadratic Control: A Unifying Theory for Stability and Performance Analysis

Nevistić, Vesna and Primbs, James A. (1997) Finite Receding Horizon Linear Quadratic Control: A Unifying Theory for Stability and Performance Analysis. California Institute of Technology , Pasadena, CA. (Unpublished)

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We consider a finite horizon based formulation of receding horizon control for linear discrete-time plants with quadratic costs. A framework is developed for analyzing stability and performance of finite receding horizon control for arbitrary terminal weights. Previous stability and performance results, including end constraints, infinite horizon formulations, and the fake algebraic Riccati equation, arc all shown to be special cases of the derived results. The unconstrained case is presented, where conditions for finite receding horizon control to be stabilizing and within specified bounds of the optimal infinite horizon performance can be computed from the solution to the Riccati difference equations. Nevertheless, the framework presented is general in that it lays the groundwork for extension to constrained systems.

Item Type:Report or Paper (Technical Report)
Additional Information:The authors would like to thank Jeff Shamma for providing the motivation behind exploring this work, and Manfred Morari, whose initial suspicion and later enthusiasm was inspiring and helpful. Additionally, the authors would like to acknowledge John Doyle for his constructive criticisms. The second author would like to thank NSF for their support.
Group:Control and Dynamical Systems Technical Reports
Subject Keywords:predictive control, optimal control, linear systems
Record Number:CaltechCDSTR:1997.001
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Usage Policy:You are granted permission for individual, educational, research and non-commercial reproduction, distribution, display and performance of this work in any format.
ID Code:28065
Deposited By: Imported from CaltechCDSTR
Deposited On:02 Sep 2006
Last Modified:03 Oct 2019 03:28

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