This paper presents a strategy for computing model predictive control of linear Gaussian noise systems with probability constraints. As usual, constraints are taken on the system state and control input. The novelty relies on setting bounds on the underlying cumulative probability distribution, and showing that the model predictive control can be computed in an efficient manner through these novel bounds— an application confirms this assertion. Indeed real-time experiments were carried out to control a direct current (DC) motor. The corresponding data show the effectiveness and usefulness of the approach
