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Assessment and Future Directions of Nonlinear Model Predictive ...

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260 M. Cannon, P. Couchmann, <strong>and</strong> B. Kouvaritakisx(k +1)=Φ(k)x(k), Φ(k) = ¯Φ +L∑q i (k)Φ i , q(k) ∼N(0,I) (11)(where ¯Φ = A + ¯BK <strong>and</strong> Φ i = B i K), then confidence ellipsoids for q can beused to determine conditions on the vertices x j , j =1,...,M <strong>of</strong> Ω so that Ωis invariant with a given probability. Specifically, the condition vi T Φx j ≤ 1isequivalent to x T j [ΦT 1 v i ··· Φ T L v i]q ≤ 1 − x T ¯Φ j T v i , <strong>and</strong>, since ‖q‖ 2 is distributedas χ 2 with L degrees <strong>of</strong> freedom, it follows that vi T Φx j ≤ 1 with probability p Ω ifi=1r Ω∥ ∥ xTj[ ΦT1 v i ··· Φ T L v i] ∥∥2 ≤ 1 − x T j ¯Φv i (12)where r Ω satisfies Pr(χ 2 (L)

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