Stochastic Data-Driven Predictive Control: Chance-Constraint Satisfaction With Identified Multi-Step Predictors

Haldun Balim, Andrea Carron, Melanie N. Zeilinger, Johannes Köhler

Abstract: We propose a novel data-driven stochastic model predictive control framework for uncertain linear systems with noisy output measurements. Our approach leverages multi-step predictors to efficiently propagate uncertainty, ensuring chance constraint satisfaction. In particular, we present a strategy to identify multi-step predictors and quantify the associated uncertainty using a surrogate (data-driven) state space model. Then, we utilize the derived distribution to formulate a constraint tightening that ensures chance constraint satisfaction despite the parametric uncertainty. A numerical example highlights the reduced conservatism of handling parametric uncertainty in the proposed method compared to state-of-the-art solutions.

External IDs:doi:10.1109/lcsys.2024.3523238