Efficient stochastic model-predictive control based on the meta-state-space representation
This work addresses the computational tractability and conservatism limitations in SMPC for control of stochastic dynamical systems, offering a more accurate and efficient method.
The paper proposes a novel stochastic model-predictive control (SMPC) method based on a meta-state-space representation that enables computationally efficient and accurate uncertainty propagation, allowing direct shaping of the output probability density function. Simulation results demonstrate its effectiveness over existing SMPC approaches.
Stochastic model-predictive control (SMPC) has evolved to a powerful framework for the control of stochastic dynamical systems. SMPC utilizes a probabilistic uncertainty description to provide a systematic trade-off between the control objective and constraint satisfaction in a statistical sense. However, the majority of existing SMPC methods face challenges related to computational tractability due to the need for stochastic inference. Approaches that apply accurate inference are computationally demanding, which can lead to serious limitations in the implementability of these methods. Hence, in practice, the uncertainty propagation and the resulting distributions are typically approximated, e.g., by Gaussian distributions. These approximations promote computational efficiency, but are often too conservative, becoming a limiting factor in the representation of stochastic state evolution and the implied guarantees. To overcome this fundamental limitation of SMPC approaches, we propose a novel formulation based on the meta-state-space (MSS) representation of stochastic dynamical systems. The proposed MSS-based SMPC scheme offers a computationally efficient way to forward propagate the uncertainty with a flexible and highly accurate approximation of the probabilistic system description. With the presented method, the entire output probability density function can be directly shaped, which is unprecedented among existing SMPC techniques. Finally, we provide a detailed theoretical analysis and demonstrate the effectiveness of the proposed methodology via an extensive simulation study.