Abstract
The stabilization with receding horizon control (RHC) of Itô stochastic time-varying systems is studied in this paper. Based on monotonically non-increasing of optimal cost and stochastic Lyapunov stability theory, a necessary and sufficient stabilization condition on the terminal weighting matrix is proposed, which guarantees the mean-square stability of the closed-loop system. The explicit receding horizon controller is obtained by employing stochastic maximum principle. Simulations demonstrate the effectiveness of the proposed method.
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This work was supported by the Taishan Scholar Construction Engineering by Shandong Government and the National Natural Science Foundation of China under Grant Nos. 61120106011 and 61573221.
This paper was recommended for publication by Editor XIE Lihua.
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Gao, R., Zhang, H. On stabilization of Itô stochastic time-varying systems. J Syst Sci Complex 30, 818–827 (2017). https://doi.org/10.1007/s11424-017-6071-0
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DOI: https://doi.org/10.1007/s11424-017-6071-0