Regularized and Distributionally Robust Data-Enabled Predictive Control

Jeremy Coulson, John Lygeros, Florian Dörfler

Abstract: In this paper, we study a data-enabled predictive control (DeePC) algorithm applied to unknown stochastic linear time-invariant systems. The algorithm uses noise-corrupted input/output data to predict future trajectories and compute optimal control policies. To robustify against uncertainties in the input/output data, the control policies are computed to minimize a worst-case expectation of a given objective function. Using techniques from distributionally robust stochastic optimization, we prove that for certain objective functions, the worst-case optimization problem coincides with a regularized version of the DeePC algorithm. These results support the previously observed advantages of the regularized algorithm. We illustrate the robustness of the regularized algorithm through a numerical case study.