Data-driven Acceleration of MPC with Guarantees

TL;DR

This paper introduces a data-driven method to significantly accelerate Model Predictive Control by replacing online optimization with a nonparametric policy derived from offline solutions, ensuring feasibility and bounded optimality.

Contribution

The authors propose a novel offline data-driven policy for MPC that is orders of magnitude faster and maintains theoretical guarantees, enabling real-time control applications.

Findings

Policy is 100 to 1000 times faster than standard MPC.

Guarantees recursive feasibility and bounded optimality gap.

Allows straightforward incorporation of new solutions without retraining.

Abstract

Model Predictive Control (MPC) is a powerful framework for optimal control but can be too slow for low-latency applications. We present a data-driven framework to accelerate MPC by replacing online optimization with a nonparametric policy constructed from offline MPC solutions. Our policy is greedy with respect to a constructed upper bound on the optimal cost-to-go, and can be implemented as a nonparametric lookup rule that is orders of magnitude faster than solving MPC online. Our analysis shows that under sufficient coverage conditions of the offline data, the policy is recursively feasible and admits provable, bounded optimality gap. These conditions establish an explicit trade-off between the amount of data collected and the tightness of the bounds. New solutions can be incorporated straightforwardly without the need for retraining, enabling continual improvement. Our experiments show that this policy is between 100 and 1000 times faster than standard MPC with only a modest hit to optimality, showing potential for real-time control tasks.