On a Stochastic Fundamental Lemma and Its Use for Data-Driven Optimal Control

DOI10.1109/TAC.2022.3232442MaRDI QIDQ6184418zbMATH OpenOpenAlexWikidataFDO

Authors Guanru Pan, Timm Faulwasser

Publication date 25 January 2024

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.13636

zbMATH Keywords

data-driven controlfundamental lemmalearning systemsmodel predictive controloptimal controlpolynomial chaosstochastic systemsuncertainty quantification

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Abstract: Data-driven control based on the fundamental lemma by Willems et al. is frequently considered for deterministic LTI systems subject to measurement noise. However, besides measurement noise, stochastic disturbances might also directly affect the dynamics. In this paper, we leverage Polynomial Chaos Expansions (PCE) to extend the deterministic fundamental lemma towards stochastic systems. This extension allows to predict future statistical distributions of the inputs and outputs for stochastic LTI systems in data-driven fashion, i.e., based on the knowledge of previously recorded input-output-disturbance data and of the disturbance distribution we perform data-driven uncertainty propagation. Finally, we analyze data-driven stochastic optimal control problems and we propose a conceptual framework for data-driven stochastic predictive control. Numerical examples illustrate the efficacy of the proposed concepts.

Cited in

(7)

• Data-driven uncertainty propagation for stochastic predictive control of multi-energy systems
• Data-driven output prediction and control of stochastic systems: an innovation-based approach
• Controller synthesis from noisy-input noisy-output data
• A polynomial chaos approach to stochastic LQ optimal control: error bounds and infinite-horizon results
• Intermittent stabilization for the spatial-multiple-fractional advection-diffusion-reaction system with time-varying delay driven by Brown motion
• Robust and efficient data-driven predictive control
• Finite-frame data-driven simulation and linear-quadratic optimal control of quarter-plane causal 2D systems

This page was built for publication: On a Stochastic Fundamental Lemma and Its Use for Data-Driven Optimal Control

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6184418)