Predictive Control for Nonlinear Stochastic Systems: Closed-Loop Guarantees With Unbounded Noise

• Published in: IEEE transactions on automatic control pp. 1 - 16
• Main Authors: Kohler, Johannes, Zeilinger, Melanie N.
• Format: Journal Article
• Language: English
• Published: IEEE 2025
• Subjects: Chance constraints; constrained control; Costs; Measurement; Noise; Nonlinear systems; Predictive control; Probabilistic logic; Stochastic processes; Stochastic systems; Symmetric matrices; Training

We present a stochastic model predictive control framework for nonlinear systems subject to unbounded process noise with closed-loop guarantees. First, we provide a conceptual shrinking-horizon framework that utilizes general probabilistic reachable sets and minimizes the expected cost. Then, we pro...