Optimal control of linear, stochastic systems with state and input constraints

I. Batina, A.A. Stoorvogel, S. Weiland

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

36 Citations (Scopus)


In this paper we extend the work presented in our previous papers (2001) where we considered optimal control of a linear, discrete time system subject to input constraints and stochastic disturbances. Here we basically look at the same problem but we additionally consider state constraints. We discuss several approaches for incorporating state constraints in a stochastic optimal control problem. We consider in particular a soft-constraint on the state constraints where constraint violation is punished by a hefty penalty in the cost function. Because of the stochastic nature of the problem, the penalty on the state constraint violation can not be made arbitrary high. We derive a condition on the growth of the state violation cost that has to be satisfied for the optimization problem to be solvable. This condition gives a link between the problem that we consider and the well known H8 control problem.
Original languageEnglish
Title of host publication41st IEEE Conference on Decision and Control, Las Vegas NV, USA, December 10-13, 2002
Place of PublicationPiscataway NJ
PublisherInstitute of Electrical and Electronics Engineers
ISBN (Print)0-7803-7516-5
Publication statusPublished - 2002
Event41st IEEE Conference on Decision and Control (CDC 2002) - Las Vegas, United States
Duration: 10 Dec 200213 Dec 2002
Conference number: 41


Conference41st IEEE Conference on Decision and Control (CDC 2002)
Abbreviated titleCDC 2002
Country/TerritoryUnited States
CityLas Vegas


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