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arXiv · 1704.00342

Risk-averse model predictive control

Pantelis Sopasakis·Domagoj Herceg·Alberto Bemporad·Panagiotis Patrinos
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Abstract

Risk-averse model predictive control (MPC) offers a control framework that allows one to account for ambiguity in the knowledge of the underlying probability distribution and unifies stochastic and worst-case MPC. In this paper we study risk-averse MPC problems for constrained nonlinear Markovian switching systems using generic cost functions, and derive Lyapunov-type risk-averse stability conditions by leveraging the properties of risk-averse dynamic programming operators. We propose a controller design procedure to design risk-averse stabilizing terminal conditions for constrained nonlinear Markovian switching systems. Lastly, we cast the resulting risk-averse optimal control problem in a favorable form which can be solved efficiently and thus deems risk-averse MPC suitable for applications.

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Pantelis Sopasakis, Domagoj Herceg, Alberto Bemporad, Panagiotis Patrinos. 2018-12-12. Risk-averse model predictive control. https://doi.org/10.1016/j.automatica.2018.11.022

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