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

DOI10.1109/TAC.2018.2874704zbMATH Open1478.93363arXiv1703.01029OpenAlexW2963082836WikidataQ129160324 ScholiaQ129160324MaRDI QIDQ5223802FDOQ5223802

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)

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.

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)

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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