On multi-step prediction models for receding horizon control
For control engineers using Model Predictive Control, this provides a robust model identification method with guaranteed error bounds.
This paper proposes a method for building multi-step-ahead prediction models from data for linear systems, achieving smaller worst-case error compared to iterated 1-step models. The approach solves a sequence of convex programs, overcoming non-convexity issues.
The derivation of multi-step-ahead prediction models from sampled data of a linear system is considered. A dedicated prediction model is built for each future time step of interest. In addition to a nominal model, the set of all models consistent with data and prior information is derived as well, making the approach suitable for robust control design within a Model Predictive Control framework. The resulting parameter identification problem is solved through a sequence of convex programs, overcoming the non-convexity arising when identifying 1-step prediction models with an output-error criterion. At the same time, the derived models guarantee a worst-case error which is always smaller than the one obtained by iterating models identified with a 1-step prediction error criterion.