Robust optimal control with adjustable uncertainty sets

DOI10.1016/J.AUTOMATICA.2016.09.016zbMATH Open1352.93065arXiv1511.04700OpenAlexW2964163137MaRDI QIDQ2374497FDOQ2374497

Maryam Kamgarpour, Xiao-Jing Zhang, Paul J. Goulart, John Lygeros, Angelos Georghiou

Publication date: 15 December 2016

Published in: Automatica (Search for Journal in Brave)

Abstract: In this paper, we develop a unified framework for studying constrained robust optimal control problems with adjustable uncertainty sets. In contrast to standard constrained robust optimal control problems with known uncertainty sets, we treat the uncertainty sets in our problems as additional decision variables. In particular, given a finite prediction horizon and a metric for adjusting the uncertainty sets, we address the question of determining the optimal size and shape of the uncertainty sets, while simultaneously ensuring the existence of a control policy that will keep the system within its constraints for all possible disturbance realizations inside the adjusted uncertainty set. Since our problem subsumes the classical constrained robust optimal control design problem, it is computationally intractable in general. We demonstrate that by restricting the families of admissible uncertainty sets and control policies, the problem can be formulated as a tractable convex optimization problem. We show that our framework captures several families of (convex) uncertainty sets of practical interest, and illustrate our approach on a demand response problem of providing control reserves for a power system.

Full work available at URL: https://arxiv.org/abs/1511.04700

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zbMATH Keywords

robust optimizationrobust optimal controlaffine policiesadjustable uncertainty sets

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Design techniques (robust design, computer-aided design, etc.) (93B51) Control/observation systems with incomplete information (93C41) Transformations (93B17)

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• Distributionally robust facility location problem under decision-dependent stochastic demand
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