arXiv subjects

Johannes Teutsch

Publications and source records attributed to Johannes Teutsch.

10 recordsLinked to original sources

arXiv2026

Stochastic Data-driven Predictive Control of Linear Systems with Sub-Gaussian Disturbances using Causal Predictors

We present a stochastic data-driven predictive control (DPC) framework for discrete-time linear time-invariant systems subject to sub-Gaussian additive disturbances based solely on input--output data. In contrast to related methods that rely on exact disturbance data or at least sample generation for closed-loop guarantees, the proposed approach leverages a disturbance data estimate. By enforcing consistency of the disturbance data estimate with the available input--output data and system class, we first identify data-driven and provably causal subspace predictors for use in DPC. Then, we analyze statistical properties of the corresponding prediction error, yielding tightened constraints for the nominal predictions that guarantee satisfaction of chance constraints. The proposed DPC scheme comes with guarantees on recursive feasibility and conditional chance constraint satisfaction in closed-loop under standard assumptions. A numerical evaluation study demonstrates the performance of the proposed controller.

eess.SY↗

arXiv2026

On Uniform Error Bounds for Kernel Regression under Non-Gaussian Noise

Providing non-conservative uncertainty quantification for function estimates derived from noisy observations remains a fundamental challenge in statistical machine learning, particularly for applications in safety-critical domains. In this work, we propose novel non-asymptotic probabilistic uniform error bounds for kernel-based regression. Compared to related bounds in the literature that are restricted to (conditionally) independent sub-Gaussian noise, our bounds allow to consider a broad class of non-Gaussian distributions, such as sub-Gaussian, bounded, sub-exponential, and variance/moment-bounded noise. Moreover, our results apply to correlated and uncorrelated noise. We compare our proposed error bounds with existing results in terms of the induced uncertainty region and their performance in safe control, demonstrating the tightness of the proposed bounds.

cs.LG↗

arXiv2025

Sampling-based Stochastic Data-driven Predictive Control under Data Uncertainty - Extended Version

We present a stochastic constrained output-feedback data-driven predictive control scheme for linear time-invariant systems subject to bounded additive disturbances. The approach uses data-driven predictors based on an extension of Willems' fundamental lemma and requires only a single persistently exciting input-output data trajectory. Compared to current state-of-the-art approaches, we do not rely on availability of exact disturbance data. Instead, we leverage a novel parameterization of the unknown disturbance data considering consistency with the measured data and the system class. This allows for deterministic approximation of the chance constraints in a sampling-based fashion. A robust constraint on the first predicted step enables recursive feasibility, closed-loop constraint satisfaction, and robust asymptotic stability in expectation under standard assumptions. A numerical example demonstrates the efficiency of the proposed control scheme.

eess.SY↗

arXiv2025

Active Fault Identification and Robust Control for Unknown Bounded Faults via Volume-Based Costs

This paper proposes a novel framework for active fault diagnosis and parameter estimation in linear systems operating in closed-loop, subject to unknown but bounded faults. The approach integrates set-membership identification with a cost function designed to accelerate fault identification. Informative excitation is achieved by minimizing the size of the parameter uncertainty set, which is approximated using ellipsoidal outer bounds. Combining this formulation with a scheduling parameter enables a transition back to nominal control as confidence in the model estimates increases. Unlike many existing methods, the proposed approach does not rely on predefined fault models. Instead, it only requires known bounds on parameter deviations and additive disturbances. Robust constraint satisfaction is guaranteed through a tube-based model predictive control scheme. Simulation results demonstrate that the method achieves faster fault detection and identification compared to passive strategies and adaptive ones based on persistent excitation constraints.

math.OC↗

arXiv2025

Towards safe Bayesian optimization with Wiener kernel regression

Bayesian Optimization (BO) is a data-driven strategy for minimizing/maximizing black-box functions based on probabilistic surrogate models. In the presence of safety constraints, the performance of BO crucially relies on tight probabilistic error bounds related to the uncertainty surrounding the surrogate model. For the case of Gaussian Process surrogates and Gaussian measurement noise, we present a novel error bound based on the recently proposed Wiener kernel regression. We prove that under rather mild assumptions, the proposed error bound is tighter than bounds previously documented in the literature, leading to enlarged safety regions. We draw upon a numerical example to demonstrate the efficacy of the proposed error bound in safe BO.

stat.ML↗

arXiv2024

Adaptive Stochastic Predictive Control from Noisy Data: A Sampling-based Approach

In this work, an adaptive predictive control scheme for linear systems with unknown parameters and bounded additive disturbances is proposed. In contrast to related adaptive control approaches that robustly consider the parametric uncertainty, the proposed method handles all uncertainties stochastically by employing an online adaptive sampling-based approximation of chance constraints. The approach requires initial data in the form of a short input-output trajectory and distributional knowledge of the disturbances. This prior knowledge is used to construct an initial set of data-consistent system parameters and a distribution that allows for sample generation. As new data stream in online, the set of consistent system parameters is adapted by exploiting set membership identification. Consequently, chance constraints are deterministically approximated using a probabilistic scaling approach by sampling from the set of system parameters. In combination with a robust constraint on the first predicted step, recursive feasibility of the proposed predictive controller and closed-loop constraint satisfaction are guaranteed. A numerical example demonstrates the efficacy of the proposed method.

eess.SY↗

arXiv2023

An Online Adaptation Strategy for Direct Data-driven Control

The fundamental lemma from behavioral systems theory yields a data-driven non-parametric system representation that has shown great potential for the data-efficient control of unknown linear and weakly nonlinear systems, even in the presence of measurement noise. In this work, we strive to extend the applicability of this paradigm to more strongly nonlinear systems by updating the system representation during control. Unlike existing approaches, our method does not impose suitable excitation to the control inputs, but runs as an observer parallel to the controller. Whenever a rank condition is deemed to be fulfilled, the system representation is updated using newly available datapoints. In a reference tracking simulation of a two-link robotic arm, we showcase the performance of the proposed strategy in a predictive control framework.

eess.SY↗

arXiv2023

Offline Uncertainty Sampling in Data-driven Stochastic MPC

In this work, we exploit an offline-sampling based strategy for the constrained data-driven predictive control of an unknown linear system subject to random measurement noise. The strategy uses only past measured, potentially noisy data in a non-parametric system representation and does not require any prior model identification. The approximation of chance constraints using uncertainty sampling leads to efficient constraint tightening. Under mild assumptions, robust recursive feasibility and closed-loop constraint satisfaction is shown. In a simulation example, we provide evidence for the improved control performance of the proposed control scheme in comparison to a purely robust data-driven predictive control approach.

eess.SY↗

arXiv2023

Data-driven tube-based stochastic predictive control

A powerful result from behavioral systems theory known as the fundamental lemma allows for predictive control akin to Model Predictive Control (MPC) for linear time invariant (LTI) systems with unknown dynamics purely from data. While most of data-driven predictive control literature focuses on robustness with respect to measurement noise, only few works consider exploiting probabilistic information of disturbances for performance-oriented control as in stochastic MPC. In this work, we propose a novel data-driven stochastic predictive control scheme for chance-constrained LTI systems subject to measurement noise and additive stochastic disturbances. In order to render the otherwise stochastic and intractable optimal control problem deterministic, our approach leverages ideas from tube-based MPC by decomposing the state into a deterministic nominal state driven by inputs and a stochastic error state affected by disturbances. By tightening constraints probabilistically with respect to the additive disturbance and robustly with respect to the measurement noise, satisfaction of original chance-constraints is guaranteed. The resulting data-driven receding horizon optimal control problem is lightweight and recursively feasible, and renders the closed loop input-to-state stable with respect to both additive disturbances and measurement noise. We demonstrate the effectiveness of the proposed approach in a simulation example.

eess.SY↗

arXiv2021

Combined Robust and Stochastic Model Predictive Control for Models of Different Granularity

Long prediction horizons in Model Predictive Control (MPC) often prove to be efficient, however, this comes with increased computational cost. Recently, a Robust Model Predictive Control (RMPC) method has been proposed which exploits models of different granularity. The prediction over the control horizon is split into short-term predictions with a detailed model using MPC and long-term predictions with a coarse model using RMPC. In many applications robustness is required for the short-term future, but in the long-term future, subject to major uncertainty and potential modeling difficulties, robust planning can lead to highly conservative solutions. We therefore propose combining RMPC on a detailed model for short-term predictions and Stochastic MPC (SMPC), with chance constraints, on a simplified model for long-term predictions. This yields decreased computational effort due to a simple model for long-term predictions, and less conservative solutions, as robustness is only required for short-term predictions. The effectiveness of the method is shown in a mobile robot collision avoidance simulation.

eess.SY↗