Near-optimal performance of stochastic economic MPC
Fuente:
arXiv
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| Autori principali: | , , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866912302667661312 |
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| author | Schießl, Jonas Ou, Ruchuan Faulwasser, Timm Baumann, Michael H. Grüne, Lars |
| author_facet | Schießl, Jonas Ou, Ruchuan Faulwasser, Timm Baumann, Michael H. Grüne, Lars |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_15159 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Near-optimal performance of stochastic economic MPC Schießl, Jonas Ou, Ruchuan Faulwasser, Timm Baumann, Michael H. Grüne, Lars Optimization and Control 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. |
| title | Near-optimal performance of stochastic economic MPC |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2403.15159 |