Linear Receding Horizon Control with Probabilistic System Parameters

Abstract: In this paper we address the problem of designing receding horizon control algorithms for linear discrete-time systems with parametric uncertainty. We do not consider presence of stochastic forcing or process noise in the system. It is assumed that the parametric uncertainty is probabilistic in nature with known probability density functions. We use generalized polynomial chaos theory to design the proposed stochastic receding horizon control algorithms. In this framework, the stochastic problem is converted to a deterministic problem in higher dimensional space. The performance of the proposed receding horizon control algorithms is assessed using a linear model with two states.