Learning an Approximate Model Predictive Controller with Guarantees

A supervised learning framework is proposed to approximate a model predictive controller (MPC) with reduced computational complexity and guarantees on stability and constraint satisfaction. The framework can be used for a wide class of nonlinear systems. Any standard supervised learning technique (e.g. neural networks) can be employed to approximate the MPC from samples. In order to obtain closed-loop guarantees for the learned MPC, a robust MPC design is combined with statistical learning bounds. The MPC design ensures robustness to inaccurate inputs within given bounds, and Hoeffding's Inequality is used to validate that the learned MPC satisfies these bounds with high confidence. The result is a closed-loop statistical guarantee on stability and constraint satisfaction for the learned MPC. The proposed learning-based MPC framework is illustrated on a nonlinear benchmark problem, for which we learn a neural network controller with guarantees.Comment: 6 pages, 3 figures, to appear in IEEE Control Systems Letter

An Improved Constraint-Tightening Approach for Stochastic MPC

The problem of achieving a good trade-off in Stochastic Model Predictive Control between the competing goals of improving the average performance and reducing conservativeness, while still guaranteeing recursive feasibility and low computational complexity, is addressed. We propose a novel, less restrictive scheme which is based on considering stability and recursive feasibility separately. Through an explicit first step constraint we guarantee recursive feasibility. In particular we guarantee the existence of a feasible input trajectory at each time instant, but we only require that the input sequence computed at time $k$ remains feasible at time $k+1$ for most disturbances but not necessarily for all, which suffices for stability. To overcome the computational complexity of probabilistic constraints, we propose an offline constraint-tightening procedure, which can be efficiently solved via a sampling approach to the desired accuracy. The online computational complexity of the resulting Model Predictive Control (MPC) algorithm is similar to that of a nominal MPC with terminal region. A numerical example, which provides a comparison with classical, recursively feasible Stochastic MPC and Robust MPC, shows the efficacy of the proposed approach.Comment: Paper has been submitted to ACC 201

On feasibility, stability and performance in distributed model predictive control

In distributed model predictive control (DMPC), where a centralized optimization problem is solved in distributed fashion using dual decomposition, it is important to keep the number of iterations in the solution algorithm, i.e. the amount of communication between subsystems, as small as possible. At the same time, the number of iterations must be enough to give a feasible solution to the optimization problem and to guarantee stability of the closed loop system. In this paper, a stopping condition to the distributed optimization algorithm that guarantees these properties, is presented. The stopping condition is based on two theoretical contributions. First, since the optimization problem is solved using dual decomposition, standard techniques to prove stability in model predictive control (MPC), i.e. with a terminal cost and a terminal constraint set that involve all state variables, do not apply. For the case without a terminal cost or a terminal constraint set, we present a new method to quantify the control horizon needed to ensure stability and a prespecified performance. Second, the stopping condition is based on a novel adaptive constraint tightening approach. Using this adaptive constraint tightening approach, we guarantee that a primal feasible solution to the optimization problem is found and that closed loop stability and performance is obtained. Numerical examples show that the number of iterations needed to guarantee feasibility of the optimization problem, stability and a prespecified performance of the closed-loop system can be reduced significantly using the proposed stopping condition