A unifying vision of Particle Filtering and Explicit dual Model Predictive Control

arXiv2303.14155MaRDI QIDQ6430765FDOQ6430765

Authors: Émilien Flayac, Karim Dahia, Bruno Hérissé, Frédéric Jean 

Publication date: 24 March 2023

Abstract: This paper presents a joint optimisation framework for optimal estimation and stochastic optimal control with imperfect information. It provides a estimation and control scheme that can be decomposed into a classical optimal estimation step and an optimal control step where a new term coming from optimal estimation is added to the cost. It is shown that a specific particle filter algorithm allows one to solve the first step approximately in the case of Mean Square Error minimisation and under suitable assumptions on the model. Then, it is shown that the estimation-based control step can justify formally the use of Explicit dual controllers which are most of the time derived from empirical matters. Finally, a relevant example from Aerospace engineering is presented.

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