Title data
Fleig, Arthur ; Grüne, Lars:
On Dissipativity of the FokkerPlanck Equation for the OrnsteinUhlenbeck Process.
Bayreuth
,
2018
.  7 S.
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Deutsche Forschungsgemeinschaft 
Abstract
We study conditions for stability and near optimal behavior of the closed loop generated by Model Predictive Control for tracking Gaussian probability density functions associated with linear stochastic processes. More precisely, we analyze whether the corresponding optimal control problems are strictly dissipative. This is the key property required to infer statements about stability and performance of the closed loop system when tracking socalled unreachable setpoints, in which case a nonnegative cost is induced at the desired state. For verifying strict dissipativity, the choice of the socalled storage function is crucial. We focus on linear ones due to their close connection to the Lagrange function. The OrnsteinUhlenbeck process serves as a prototype for our analysis, in which we show the limits of linear storage functions and present nonlinear alternatives, thus providing structural insight into dissipativity in case of bilinear system dynamics.
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 On Dissipativity of the FokkerPlanck Equation for the OrnsteinUhlenbeck Process. (deposited 21 Dec 2018 08:05) [Currently Displayed]