Stochastic model predictive control with joint chance constraints
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Publication:5207811
DOI10.1080/00207179.2017.1323351zbMATH Open1430.93066arXiv1506.08471OpenAlexW3102247235MaRDI QIDQ5207811FDOQ5207811
Authors: Joel A. Paulson, Edward A. Buehler, Richard D. Braatz, Ali Mesbah 
Publication date: 13 January 2020
Published in: International Journal of Control (Search for Journal in Brave)
Abstract: This article considers the stochastic optimal control of discrete-time linear systems subject to (possibly) unbounded stochastic disturbances, hard constraints on the manipulated variables, and joint chance constraints on the states. A tractable convex second-order cone program (SOCP) is derived for calculating the receding-horizon control law at each time step. Feedback is incorporated during prediction by parametrizing the control law as an affine function of the disturbances. Hard input constraints are guaranteed by saturating the disturbances that appear in the control law parametrization. The joint state chance constraints are conservatively approximated as a collection of individual chance constraints that are subsequently relaxed via the Cantelli-Chebyshev inequality. Feasibility of the SOCP is guaranteed by softening the approximated chance constraints using the exact penalty function method. Closed-loop stability in a stochastic sense is established by establishing that the states satisfy a geometric drift condition outside of a compact set such that their variance is bounded at all times. The SMPC approach is demonstrated using a continuous acetone-butanol-ethanol fermentation process, which is used for production of high-value-added drop-in biofuels.
Full work available at URL: https://arxiv.org/abs/1506.08471
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Feedback control (93B52) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Stochastic systems in control theory (general) (93E03) Model predictive control (93B45)
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- The composite-disturbance-observer based stochastic model predictive control for spacecrafts under multi-source disturbances
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- Chance constrained nonlinear model predictive control
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- A stochastic MPC scheme for distributed systems with multiplicative uncertainty
- Nonquadratic stochastic model predictive control: a tractable approach
- Recursively feasible stochastic model predictive control using indirect feedback
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- Probabilistic Constrained MPC for Multiplicative and Additive Stochastic Uncertainty
- Constrained tracking control of stochastic multivariable nonlinear systems using unscented Kalman filter
- Minimization of constraint violation probability in model predictive control
- Adaptive coordinated control for space manipulators with input saturation
- An efficient method for stochastic optimal control with joint chance constraints for nonlinear systems
- Hierarchical model predictive control of independent systems with joint constraints
- Chance-constrained controller state and reference governor
- Stochastic Tubes in Model Predictive Control With Probabilistic Constraints
- Linear controller design for chance constrained systems
- Trajectory tracking of coordinated multi-robot systems using nonlinear model predictive control
- The scenario approach for stochastic model predictive control with bounds on closed-loop constraint violations
- A chance-constrained stochastic model predictive control problem with disturbance feedback
- Stochastic model predictive control for linear systems with unbounded additive uncertainties
- Stochastic model predictive control with adaptive constraint tightening for non-conservative chance constraints satisfaction
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