(Stochastic) Model Predictive Control -- a Simulation Example

TL;DR

This paper introduces stochastic Model Predictive Control using a simple linear system example, highlighting probabilistic constraints and providing accessible MATLAB code for implementation.

Contribution

It offers a clear, practical illustration of stochastic MPC with an example and available code, enhancing understanding and application.

Findings

Demonstrates stochastic MPC on a linear system with uncertainty

Provides MATLAB code for reproducibility

Highlights the role of probabilistic constraints in control

Abstract

This brief introduction to Model Predictive Control specifically addresses stochastic Model Predictive Control, where probabilistic constraints are considered. A simple linear system subject to uncertainty serves as an example. The Matlab code for this stochastic Model Predictive Control example is available online.