Abstract—The scope of this work is research of the problem linear stochastic control systems with constraints. Motivation to solving this problem derives from the fact that there is no universal solution to this problem, even though stochastic systems with constraints are very common in practice. Defined control problem is solved by creating new predictive control method. Validity and convergence of the created method is tested by method of simulation at many different scenarios of constraints and stochastic disturbances.
Index Terms—Control, stochastic, constraints, prediction.
The author is with Enes Saletović and Tadej Mateljan are with the University of Sarajevo.
Cite: Enes Saletović and Tadej Mateljan, "Control of Linear Stochastic Systems with Constraints Asymptotic Predictive Method (APM)," International Journal of Information and Electronics Engineering vol. 2, no. 4, pp. 601-605, 2012.