The Receding Horizon Control (RHC) strategy consists in replacing an infinite-horizon stabilization problem by a sequence of finite-horizon optimal control problems, which are numerically more tractable. The dynamic programming principle ensures that if the finite-horizon problems are formulated with the exact value function as a terminal penalty function, then the RHC method generates an optimal control. This article deals with the case where the terminal cost function is chosen as a cut-off Taylor approximation of the value function. The main result is an error rate estimate for the control generated by such a method, when compared with the optimal control. The obtained estimate is of the same order as the employed Taylor approximation and decreases at an exponential rate with respect to the prediction horizon. To illustrate the methodology, the article focuses on a class of bilinear optimal control problems in infinite-dimensional Hilbert spaces.
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DOI : 10.1051/cocv/2019037
Mots-clés : Receding horizon control, model predictive control, bilinear control, Riccati equation, value function
@article{COCV_2020__26_1_A58_0,
author = {Kunisch, Karl and Pfeiffer, Laurent},
title = {The effect of the terminal penalty in {Receding} {Horizon} {Control} for a class of stabilization problems},
journal = {ESAIM: Control, Optimisation and Calculus of Variations},
publisher = {EDP-Sciences},
volume = {26},
year = {2020},
doi = {10.1051/cocv/2019037},
mrnumber = {4146355},
zbl = {1448.49007},
language = {en},
url = {http://www.numdam.org/articles/10.1051/cocv/2019037/}
}
TY - JOUR AU - Kunisch, Karl AU - Pfeiffer, Laurent TI - The effect of the terminal penalty in Receding Horizon Control for a class of stabilization problems JO - ESAIM: Control, Optimisation and Calculus of Variations PY - 2020 VL - 26 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/cocv/2019037/ DO - 10.1051/cocv/2019037 LA - en ID - COCV_2020__26_1_A58_0 ER -
%0 Journal Article %A Kunisch, Karl %A Pfeiffer, Laurent %T The effect of the terminal penalty in Receding Horizon Control for a class of stabilization problems %J ESAIM: Control, Optimisation and Calculus of Variations %D 2020 %V 26 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/cocv/2019037/ %R 10.1051/cocv/2019037 %G en %F COCV_2020__26_1_A58_0
Kunisch, Karl; Pfeiffer, Laurent. The effect of the terminal penalty in Receding Horizon Control for a class of stabilization problems. ESAIM: Control, Optimisation and Calculus of Variations, Tome 26 (2020), article no. 58. doi : 10.1051/cocv/2019037. http://www.numdam.org/articles/10.1051/cocv/2019037/
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This project has received funding from the European Research Council (ERC) under the European Union’s Horizon 2020 research and innovation programme (grant agreement No 668998).
