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Title data
Fleig, Arthur ; Grüne, Lars:
On Dissipativity of the Fokker-Planck Equation for the Ornstein-Uhlenbeck Process.
Bayreuth
,
2019
. - 6 S.
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Project information
| Project title: |
Project's official title Project's id Model Predictive Control for the Fokker-Planck Equation GR 1569/15-1 |
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| Project financing: |
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. To this end, we analyze whether the corresponding optimal control problems are strictly dissipative, as this is the key property required to infer such statements when tracking so-called unreachable setpoints. For verifying strict dissipativity, the choice of the so-called storage function is crucial. We focus on linear ones due to their close connection to the Lagrange function. The Ornstein-Uhlenbeck process serves as a prototype for our analysis, in which we show the limits of linear storage functions and present nonlinear alternatives, providing structural insight into dissipativity in case of bilinear system dynamics.
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Available Versions of this Item
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On Dissipativity of the Fokker-Planck Equation for the Ornstein-Uhlenbeck Process. (deposited 21 Dec 2018 08:05)
- On Dissipativity of the Fokker-Planck Equation for the Ornstein-Uhlenbeck Process. (deposited 11 Mar 2019 15:20) [Currently Displayed]
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