Towards data‐driven stochastic predictive control

Summary Data‐driven predictive control based on the fundamental lemma by Willems et al. is frequently considered for deterministic LTI systems subject to measurement noise. However, little has been done on data‐driven stochastic control. In this paper, we propose a data‐driven stochastic predictive...

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Published inInternational journal of robust and nonlinear control Vol. 35; no. 7; pp. 2588 - 2610
Main Authors Pan, Guanru, Ou, Ruchuan, Faulwasser, Timm
Format Journal Article
LanguageEnglish
Published Bognor Regis Wiley Subscription Services, Inc 10.05.2025
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ISSN1049-8923
1099-1239
DOI10.1002/rnc.6812

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Abstract Summary Data‐driven predictive control based on the fundamental lemma by Willems et al. is frequently considered for deterministic LTI systems subject to measurement noise. However, little has been done on data‐driven stochastic control. In this paper, we propose a data‐driven stochastic predictive control scheme for LTI systems subject to possibly unbounded additive process disturbances. Based on a stochastic extension of the fundamental lemma and leveraging polynomial chaos expansions, we construct a data‐driven surrogate optimal control problem (OCP). Moreover, combined with an online selection strategy of the initial condition of the OCP, we provide sufficient conditions for recursive feasibility and for stability of the proposed data‐driven predictive control scheme. Finally, two numerical examples illustrate the efficacy and closed‐loop properties of the proposed scheme for process disturbances governed by different distributions.
AbstractList Data‐driven predictive control based on the fundamental lemma by Willems et al. is frequently considered for deterministic LTI systems subject to measurement noise. However, little has been done on data‐driven stochastic control. In this paper, we propose a data‐driven stochastic predictive control scheme for LTI systems subject to possibly unbounded additive process disturbances. Based on a stochastic extension of the fundamental lemma and leveraging polynomial chaos expansions, we construct a data‐driven surrogate optimal control problem (OCP). Moreover, combined with an online selection strategy of the initial condition of the OCP, we provide sufficient conditions for recursive feasibility and for stability of the proposed data‐driven predictive control scheme. Finally, two numerical examples illustrate the efficacy and closed‐loop properties of the proposed scheme for process disturbances governed by different distributions.
Summary Data‐driven predictive control based on the fundamental lemma by Willems et al. is frequently considered for deterministic LTI systems subject to measurement noise. However, little has been done on data‐driven stochastic control. In this paper, we propose a data‐driven stochastic predictive control scheme for LTI systems subject to possibly unbounded additive process disturbances. Based on a stochastic extension of the fundamental lemma and leveraging polynomial chaos expansions, we construct a data‐driven surrogate optimal control problem (OCP). Moreover, combined with an online selection strategy of the initial condition of the OCP, we provide sufficient conditions for recursive feasibility and for stability of the proposed data‐driven predictive control scheme. Finally, two numerical examples illustrate the efficacy and closed‐loop properties of the proposed scheme for process disturbances governed by different distributions.
Author Faulwasser, Timm
Ou, Ruchuan
Pan, Guanru
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Snippet Summary Data‐driven predictive control based on the fundamental lemma by Willems et al. is frequently considered for deterministic LTI systems subject to...
Data‐driven predictive control based on the fundamental lemma by Willems et al. is frequently considered for deterministic LTI systems subject to measurement...
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SubjectTerms closed‐loop properties
Control data (computers)
Control systems
data‐driven system representation
Disturbances
Noise measurement
Optimal control
polynomial chaos expansion
Polynomials
Predictive control
stochastic model predictive control
Stochastic processes
Title Towards data‐driven stochastic predictive control
URI https://onlinelibrary.wiley.com/doi/abs/10.1002%2Frnc.6812
https://www.proquest.com/docview/3184854636
Volume 35
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