Recursively Feasible Stochastic Model Predictive Control for Time-Varying Linear Systems Subject to Unbounded Disturbances

TL;DR

This paper introduces a convex stochastic model predictive control method that guarantees recursive feasibility and chance constraint satisfaction for time-varying linear systems with unbounded disturbances, enabling efficient real-time control.

Contribution

It presents a novel approach combining covariance steering ideas to ensure recursive feasibility in stochastic MPC for time-varying systems with unbounded noise.

Findings

Ensures recursive feasibility in stochastic MPC with unbounded disturbances.

Guarantees chance constraint satisfaction in closed-loop operation.

Formulates the control problem as a convex program for real-time implementation.

Abstract

Model predictive control solves a constrained optimization problem online in order to compute an implicit closed-loop control policy. Recursive feasibility -- guaranteeing that the optimal control problem will have a solution at every time step -- is an important property to guarantee the success of any model predictive control approach. However, recursive feasibility is difficult to establish in a stochastic setting and, in particular, in the presence of disturbances having unbounded support (e.g., Gaussian noise). The problem is further exacerbated for time-varying systems, in which case recursive feasibility must be established also in a robust sense, over all possible future time-varying parameter values, as well as in a stochastic sense, over all potential disturbance realizations. This work presents a method for ensuring the recursive feasibility of a convex, affine-feedback stochastic model predictive control problem formulation for systems with time-varying system matrices and unbounded disturbances using ideas from covariance steering stochastic model predictive control. It is additionally shown that the proposed approach ensures the closed-loop operation of the system will satisfy the desired chance constraints in practice, and that the stochastic model predictive control problem may be formulated as a convex program so that it may be efficiently solved in real-time.