A Framework for Time-Consistent, Risk-Sensitive Model Predictive Control: Theory and Algorithms

DOI10.1109/TAC.2018.2874704MaRDI QIDQ5223802zbMATH OpenOpenAlexWikidataFDO

Authors Sumeet Singh, Yinlam Chow, Anirudha Majumdar, Marco Pavone

Publication date 18 July 2019

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

Full work available at URL https://arxiv.org/abs/1703.01029

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Linear-quadratic optimal control problems (49N10) Discrete-time control/observation systems (93C55)

Abstract: In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the cumulative cost as the objective function to be minimized. This framework is axiomatically justified in terms of time-consistency of risk assessments, is amenable to dynamic optimization, and is unifying in the sense that it captures a full range of risk preferences from risk-neutral (i.e., expectation) to worst case. Within this framework, we propose and analyze an online risk-sensitive MPC algorithm that is provably stabilizing. Furthermore, by exploiting the dual representation of time-consistent, dynamic risk measures, we cast the computation of the MPC control law as a convex optimization problem amenable to real-time implementation. Simulation results are presented and discussed.

Cited in

(5)

• Risk-averse model predictive control
• Risk-averse receding horizon motion planning for obstacle avoidance using coherent risk measures
• Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control
• Online learning based risk-averse stochastic MPC of constrained linear uncertain systems
• Temporal Robustness of Stochastic Signals

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