Nonlinear stochastic receding horizon control: stability, robustness and Monte Carlo methods for control approximation

This work considers the stability of nonlinear stochastic receding horizon control when the optimal controller is only computed approximately. A number of general classes of controller approximation error are analysed including deterministic and probabilistic errors and even controller sample and hold errors. In each case, it is shown that the controller approximation errors do not accumulate (even over an infinite time frame) and the process converges exponentially fast to a small neighbourhood of the origin. In addition to this analysis, an approximation method for receding horizon optimal control is proposed based on Monte Carlo simulation. This method is derived via the Feynman–Kac formula which gives a stochastic interpretation for the solution of a Hamilton–Jacobi–Bellman equation associated with the true optimal controller. It is shown, and it is a prime motivation for this study, that this particular controller approximation method practically stabilises the underlying nonlinear process.