Stochastic MPC with offline uncertainty sampling
For discrete-time linear systems subject to multiplicative disturbance described by random variables, we develop a sampling-based Stochastic Model Predictive Control algorithm. Unlike earlier results employing a scenario approximation, we propose an offline sampling approach in the design phase inst...
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Published in | Automatica (Oxford) Vol. 81; pp. 176 - 183 |
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Main Authors | , , , |
Format | Journal Article |
Language | English |
Published |
Elsevier Ltd
01.07.2017
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ISSN | 0005-1098 1873-2836 |
DOI | 10.1016/j.automatica.2017.03.031 |
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Abstract | For discrete-time linear systems subject to multiplicative disturbance described by random variables, we develop a sampling-based Stochastic Model Predictive Control algorithm. Unlike earlier results employing a scenario approximation, we propose an offline sampling approach in the design phase instead of online scenario generation. The paper highlights the structural difference between online and offline sampling and provides rigorous bounds on the number of samples needed to guarantee chance constraint satisfaction. The approach does not only significantly speed up the online computation, but furthermore allows to suitably tighten the constraints to guarantee robust recursive feasibility when bounds on the uncertain variables are provided. Under mild assumptions, asymptotic stability of the origin can be established. |
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AbstractList | For discrete-time linear systems subject to multiplicative disturbance described by random variables, we develop a sampling-based Stochastic Model Predictive Control algorithm. Unlike earlier results employing a scenario approximation, we propose an offline sampling approach in the design phase instead of online scenario generation. The paper highlights the structural difference between online and offline sampling and provides rigorous bounds on the number of samples needed to guarantee chance constraint satisfaction. The approach does not only significantly speed up the online computation, but furthermore allows to suitably tighten the constraints to guarantee robust recursive feasibility when bounds on the uncertain variables are provided. Under mild assumptions, asymptotic stability of the origin can be established. |
Author | Lorenzen, Matthias Tempo, Roberto Allgöwer, Frank Dabbene, Fabrizio |
Author_xml | – sequence: 1 givenname: Matthias surname: Lorenzen fullname: Lorenzen, Matthias email: matthias.lorenzen@ist.uni-stuttgart.de organization: Institute for Systems Theory and Automatic Control, University of Stuttgart, Germany – sequence: 2 givenname: Fabrizio surname: Dabbene fullname: Dabbene, Fabrizio email: fabrizio.dabbene@ieiit.cnr.it organization: CNR-IEIIT, Politecnico di Torino, Italy – sequence: 3 givenname: Roberto surname: Tempo fullname: Tempo, Roberto email: roberto.tempo@polito.it organization: CNR-IEIIT, Politecnico di Torino, Italy – sequence: 4 givenname: Frank surname: Allgöwer fullname: Allgöwer, Frank email: frank.allgower@ist.uni-stuttgart.de organization: Institute for Systems Theory and Automatic Control, University of Stuttgart, Germany |
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Cites_doi | 10.1137/07069821X 10.1016/j.automatica.2014.11.004 10.3182/20140824-6-ZA-1003.00696 10.1016/j.automatica.2014.10.128 10.1137/120878719 10.1109/CDC.2015.7402994 10.1109/TAC.2008.2010886 10.1016/j.sysconle.2007.11.003 10.1109/CDC.2014.7040135 10.1109/TAC.2006.875041 10.1109/ACC.2015.7170855 10.1016/j.jprocont.2016.03.005 10.1109/ECC.2014.6862498 10.1016/j.automatica.2013.02.060 10.1016/j.automatica.2014.10.035 10.23919/ECC.2013.6669862 10.1109/TAC.2016.2625048 10.1007/s10957-010-9754-6 10.1109/TAC.2009.2031207 10.1137/090773490 10.1109/ACC.2014.6858851 |
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Keywords | Receding horizon control Stochastic control Stochastic model predictive control Data-based control Control of constrained systems |
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