Receding Horizon Finite Memory Controls for Output Feedback Controls of Discrete-Time State Space Models

In this paper, a new type of output feedback control, called a receding horizon finite memory control (RHFMC), is proposed for stochastic discrete time state space systems. Constraints such as linearity and finite memory structure with respect to an input and an output, and unbiasedness from the optimal state feedback control are required in advance. The proposed RHFMC is chosen to minimize an optimal criterion with these constraints. The RHFMC is obtained in an explicit closed form using the output and input information on the recent time interval. It is shown that the RHFMC consists of a receding horizon control and an FIR filter. The stability of the RHFMC is investigated for stochastic systems.