Stochastic gradient methods for stochastic model predictive controlStochastic gradient methods for stochastic model predictive control


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Updated 01 Jun Most stochastic MPC's can be classified within two groups: In the first group are those based in analytical methods Chance-Constrainedwhich solve an OCP based on the expected value of an index cost, subject to probabilistic constraints, generally in the predicted states. In the second group are those based on random scenarios Scenario-Basedwhich solve an OCP for a determined number of random realizations of uncertainties also called scenarios. The files contain a basic Stochastic predictive control simulators for SISO linear systems with additive disturbances.

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