Abstract
This paper addresses model predictive control of a class of linear systems subject to additive stochastic disturbances and constraints. The underlying stochastic optimal control problem combines inverse cumulative distribution functions with ellipsoid-in-polyhedron formulations to reduce the conservatism induced by constraint satisfaction. By use of terminal constraints and time-varying weights within the cost functional, the presented control scheme satisfies criteria for mean-square stability and can be adapted to reference-tracking problems for arbitrary reference signals.
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