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arXiv · 2309.12190

Regret and Conservatism of Distributionally Robust Constrained Stochastic Model Predictive Control

Maik Pfefferkorn·Venkatraman Renganathan·Rolf Findeisen
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Abstract

We analyse the conservatism and regret of distributionally robust (DR) stochastic model predictive control (SMPC) when using moment-based ambiguity sets for modeling unknown uncertainties. To quantify the conservatism, we compare the deterministic constraint tightening while taking a DR approach against the optimal tightening when the exact distributions of the stochastic uncertainties are known. Furthermore, we quantify the regret by comparing the performance when the distributions of the stochastic uncertainties are known and unknown. Analysing the accumulated sub-optimality of SMPC due to the lack of knowledge about the true distributions of the uncertainties marks the novel contribution of this work.

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Maik Pfefferkorn, Venkatraman Renganathan, Rolf Findeisen. 2023-09-21. Regret and Conservatism of Distributionally Robust Constrained Stochastic Model Predictive Control. https://arxiv.org/abs/2309.12190

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