Receding horizon control for Itô stochastic time-varying systems

The stabilization of Itô stochastic time-varying systems is studied via receding horizon control (RHC) in this paper. By using stochastic maximum principle we obtain the explicit solution of the receding horizon control. Based on monotonically non-increasing of optimal cost and stochastic Lyapunov stability theory, a necessary and sufficient stabilization condition on the terminal weighting matrix is proposed, which guarantees the mean-square stability of the closed-loop system.