Robust and LPV Economic Linear Optimal Control

Abstract

This work investigates how to address box-type uncertainties in economic linear optimal control (ELOC). We consider two methods, a robust formulation for when the uncertainty is completely unknown and a Linear Parameter Varying formulation for when uncertainty can be measured in real time. In both cases, the infinite number of conditions that need to be satisfied are reduced to a finite set of constraints. The resulting problem formulations have a similar structure to the ELOC and can be solved globally by employing the generalized Benders decomposition.