Abstract:
In this paper, we consider chance-constrained Stochastic Model Predictive Control problems for uncertain linear systems subject to additive disturbance. A popular method ...Show MoreMetadata
Abstract:
In this paper, we consider chance-constrained Stochastic Model Predictive Control problems for uncertain linear systems subject to additive disturbance. A popular method for solving the associated chance-constrained optimization problem is by means of randomization, in which the chance constraints are replaced by a finite number of sampled constraints, each corresponding to a disturbance realization. Earlier approaches in this direction lead to computationally expensive problems, whose solutions are typically very conservative both in terms of cost and violation probabilities. One way of overcoming this conservatism is to use piecewise affine (PWA) policies, which offer more flexibility than conventional open-loop and affine policies. Unfortunately, the straight-forward application of randomized methods towards PWA policies will lead to computationally demanding problems, that can only be solved for problems of small sizes. To address this issue, we propose an alternative method based on a combination of randomized and robust optimization. We show that the resulting approximation can greatly reduce conservatism of the solution while exhibiting favorable scaling properties with respect to the prediction horizon.
Published in: 2015 54th IEEE Conference on Decision and Control (CDC)
Date of Conference: 15-18 December 2015
Date Added to IEEE Xplore: 11 February 2016
ISBN Information: