Skip to main content

Stochastic Model Predictive Control

  • Living reference work entry
  • Latest version View entry history
  • First Online:
Encyclopedia of Systems and Control
  • 124 Accesses

Abstract

Stochastic model predictive control is a form of model predictive control that takes account of the stochastic nature of uncertain parameters and disturbances affecting the system model. This information may be used in the definition of performance indices, constraints, or both. We discuss cost functions, constraints, closed-loop properties, and implementation issues.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Institutional subscriptions

Bibliography

  • Ã…ström KJ, Wittenmark B (1973) On self-tuning regulators. Automatica 9(2):185–199

    Article  Google Scholar 

  • Batina I (2004) Model predictive control for stochastic systems by randomized algorithms. Eindhoven: Technische Universiteit Eindhoven. https://doi.org/10.6100/IR573294

    Google Scholar 

  • Calafiore GC, Campi MC (2005) Uncertain convex programs: randomized solutions and confidence levels. Math Program 102(1):25–46

    Article  MathSciNet  Google Scholar 

  • Calafiore GC, Fagiano L (2013) Robust model predictive control via scenario optimization. IEEE Trans Autom Control 58(1):219–224

    Article  MathSciNet  Google Scholar 

  • Cannon M, Cheng Q, Kouvaritakis B, Rakovic SV (2012) Stochastic tube MPC with state estimation. Automatica 48(3):536–541

    Article  MathSciNet  Google Scholar 

  • Charnes A, Cooper WW (1963) Deterministic equivalents for optimizing and satisficing under chance constraints. Oper Res 11(1):19–39

    Article  MathSciNet  Google Scholar 

  • Fleming J, Cannon M (2019) Stochastic MPC for additive and multiplicative uncertainty using sample approximations IEEE Trans Autom Control 64(9):3883–3888. https://doi.org/10.1109/TAC.2018.2887054

    Google Scholar 

  • Kouvaritakis B, Cannon M, Raković SV, Cheng Q (2010) Explicit use of probabilistic distributions in linear predictive control. Automatica 46(10):1719–1724

    Article  MathSciNet  Google Scholar 

  • Lee JH, Cooley BL (1998) Optimal feedback control strategies for state-space systems with stochastic parameters. IEEE Trans Autom Control 43(10):1469–1475

    Article  MathSciNet  Google Scholar 

  • Lee JH, Yu Z (1997) Worst-case formulations of model predictive control for systems with bounded parameters. Automatica 33(5):763–781

    Article  MathSciNet  Google Scholar 

  • Marruedo DL, Alamo T, Camacho EF (2002) Input-to-state stable MPC for constrained discrete-time nonlinear systems with bounded additive uncertainties. In: IEEE conference on decision and control, Las Vegas, pp 4619–4624

    Google Scholar 

  • Mayne DQ, Seron MM, Raković SV (2005) Robust model predictive control of constrained linear systems with bounded disturbances. Automatica 41(2):219–224

    Article  MathSciNet  Google Scholar 

  • Primbs JA, Sung CH (2009) Stochastic receding horizon control of constrained linear systems with state and control multiplicative noise. IEEE Trans Autom Control 54(2):221–230

    Article  MathSciNet  Google Scholar 

  • Schwarm AT, Nikolaou M (1999) Chance-constrained model predictive control. AIChE J 45(8):1743–1752

    Article  Google Scholar 

  • van Hessem DH, Bosgra OH (2002) A conic reformulation of model predictive control including bounded and stochastic disturbances under state and input constraints. In: IEEE conference on decision and control, Las Vegas, pp 4643–4648

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Mark Cannon .

Editor information

Editors and Affiliations

Section Editor information

Rights and permissions

Reprints and permissions

Copyright information

© 2020 Springer-Verlag London Ltd., part of Springer Nature

About this entry

Check for updates. Verify currency and authenticity via CrossMark

Cite this entry

Kouvaritakis, B., Cannon, M. (2020). Stochastic Model Predictive Control. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5102-9_7-2

Download citation

  • DOI: https://doi.org/10.1007/978-1-4471-5102-9_7-2

  • Published:

  • Publisher Name: Springer, London

  • Print ISBN: 978-1-4471-5102-9

  • Online ISBN: 978-1-4471-5102-9

  • eBook Packages: Springer Reference EngineeringReference Module Computer Science and Engineering

Publish with us

Policies and ethics

Chapter history

  1. Latest

    Stochastic Model Predictive Control
    Published:
    27 October 2019

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_7-2

  2. Original

    Stochastic Model Predictive Control
    Published:
    06 March 2014

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_7-1