Stochastic Nonlinear Model Predictive Control with Efficient Sample Approximation of Chance Constraints

This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost function in terms of expected values and higher moments of the states, and chance constraints that ensure probabilistic constraint satisfaction. The generalized polynomial chaos framework is used to propagate the time-invariant stochastic uncertainties through the nonlinear system dynamics, and to efficiently sample from the probability densities of the states to approximate the satisfaction probability of the chance constraints. To increase computational efficiency by avoiding excessive sampling, a statistical analysis is proposed to systematically determine a-priori the least conservative constraint tightening required at a given sample size to guarantee a desired feasibility probability of the sample-approximated chance constraint optimization problem. In addition, a method is presented for sample-based approximation of the analytic gradients of the chance constraints, which increases the optimization efficiency significantly. The proposed stochastic nonlinear model predictive control approach is applicable to a broad class of nonlinear systems with the sufficient condition that each term is analytic with respect to the states, and separable with respect to the inputs, states and parameters. The closed-loop performance of the proposed approach is evaluated using the Williams-Otto reactor with seven states, and ten uncertain parameters and initial conditions. The results demonstrate the efficiency of the approach for real-time stochastic model predictive control and its capability to systematically account for probabilistic uncertainties in contrast to a nonlinear model predictive control approaches.Comment: Submitted to Journal of Process Contro

Stochastic spacecraft trajectory optimization with the consideration of chance constraints

This brief investigates a computational framework based on optimal control for addressing the problem of stochastic trajectory optimization with the consideration of chance constraints. This design employs a discretization technique to parameterize uncertain variables and create the trajectory ensemble. Subsequently, the resulting discretized version of the problem is solved by applying standard optimal control solvers. In order to provide reliable gradient information to the optimization algorithm, a smooth and differentiable chance-constraint approximation method is proposed to replace the original probability constraints. The established methodology is implemented to explore the optimal trajectories for a spacecraft entry flight planning scenario with noise-perturbed dynamics and probabilistic constraints. Simulation results and comparative studies demonstrate that the present chance-constraint handling strategy can outperform other existing approaches analyzed in this brief, and this computational framework can produce reliable and less conservative solutions for the chance-constrained stochastic spacecraft trajectory planning problem

Stochastic and Optimal Distributed Control for Energy Optimization and Spatially Invariant Systems

Improving energy efficiency and grid responsiveness of buildings requires sensing, computing and communication to enable stochastic decision-making and distributed operations. Optimal control synthesis plays a significant role in dealing with the complexity and uncertainty associated with the energy systems. The dissertation studies general area of complex networked systems that consist of interconnected components and usually operate in uncertain environments. Specifically, the contents of this dissertation include tools using stochastic and optimal distributed control to overcome these challenges and improve the sustainability of electric energy systems. The first tool is developed as a unifying stochastic control approach for improving energy efficiency while meeting probabilistic constraints. This algorithm is applied to demonstrate energy efficiency improvement in buildings and improving operational efficiency of virtualized web servers, respectively. Although all the optimization in this technique is in the form of convex optimization, it heavily relies on semidefinite programming (SP). A generic SP solver can handle only up to hundreds of variables. This being said, for a large scale system, the existing off-the-shelf algorithms may not be an appropriate tool for optimal control. Therefore, in the sequel I will exploit optimization in a distributed way. The second tool is itself a concrete study which is optimal distributed control for spatially invariant systems. Spatially invariance means the dynamics of the system do not vary as we translate along some spatial axis. The optimal H2 [H-2] decentralized control problem is solved by computing an orthogonal projection on a class of Youla parameters with a decentralized structure. Optimal H∞ [H-infinity] performance is posed as a distance minimization in a general L∞ [L-infinity] space from a vector function to a subspace with a mixed L∞ and H∞ space structure. In this framework, the dual and pre-dual formulations lead to finite dimensional convex optimizations which approximate the optimal solution within desired accuracy. Furthermore, a mixed L2 [L-2] /H∞ synthesis problem for spatially invariant systems as trade-offs between transient performance and robustness. Finally, we pursue to deal with a more general networked system, i.e. the Non-Markovian decentralized stochastic control problem, using stochastic maximum principle via Malliavin Calculus

Fast generation of chance-constrained flight trajectory for unmanned vehicles

In this work, a fast chance-constrained trajectory generation strategy incorporating convex optimization and convex approximation of chance constraints is designed so as to solve the unmanned vehicle path planning problem. A pathlength- optimal unmanned vehicle trajectory optimization model is constructed with the consideration of the pitch angle constraint, the curvature radius constraint, the probabilistic control actuation constraint, and the probabilistic collision avoidance constraint. Subsequently, convexification technique is introduced to convert the nonlinear problem formulation into a convex form. To deal with the probabilistic constraints in the optimization model, convex approximation techniques are introduced such that the probabilistic constraints are replaced by deterministic ones, while simultaneously preserving the convexity of the optimization model. Numerical results, obtained from a number of case studies, validate the effectiveness and reliability of the proposed approach. A number of comparative studies were also performed. The results confirm that the proposed design is able to produce more optimal flight paths and achieve enhanced computational performance than other chance-constrained optimization approaches investigated in this paper