Note: This content is accessible to all versions of every browser. However, this browser does not seem to support current Web standards, preventing the display of our site's design details.

  

Convex Approximation of Chance-Constrained MPC through Piecewise Affine Policies using Randomized and Robust Optimization

Author(s):

X. Zhang, A. Georghiou, J. Lygeros
Conference/Journal:

IEEE Conference on Decision and Control, Osaka, Japan
Abstract:

In this paper, we consider chance-constrained Stochastic Model Predictive Control problems for uncertain linear systems subject to additive disturbance. A popular method for solving the associated chance-constrained optimization problem is by means of randomization, in which the chance constraints are replaced by a finite number of sampled constraints, each corresponding to a disturbance realization. Earlier approaches in this direction lead to computationally expensive problems, whose solutions are typically very conservative both in terms of cost and violation probabilities. A way of overcoming this conservatism is to use piecewise affine (PWA) policies, which offer more flexibility than conventional open-loop and affine policies. Unfortunately, the straight-forward application of randomized methods towards PWA policies will lead to computationally demanding problems, that can only be solved for problems of small sizes. To address this issue, we propose an alternative method based on a combination of randomized and robust optimization. We show that the resulting approximation can greatly reduce conservatism of the solution while exhibiting favorable scaling properties with respect to the prediction horizon. The efficacy of the proposed approach relative to standard techniques is demonstrated in an inventory control problem.

Year:

2015
Type of Publication:

(01)Article
Supervisor:



File Download:

Request a copy of this publication.
(Uses JavaScript)
% Autogenerated BibTeX entry
@InProceedings { ZhaGeo:2015:IFA_5212,
    author={X. Zhang and A. Georghiou and J. Lygeros},
    title={{Convex Approximation of Chance-Constrained MPC through
	  Piecewise Affine Policies using Randomized and Robust
	  Optimization}},
    booktitle={IEEE Conference on Decision and Control},
    pages={},
    year={2015},
    address={Osaka, Japan},
    month=dec,
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=5212}
}
Permanent link