Regret and Conservatism of Constrained Stochastic Model Predictive Control
(2024)- Abstract
- We analyse conservatism and regret of stochastic model predictive control (SMPC) when using moment-based ambiguity sets for modeling unknown uncertainties. To quantify the conservatism, we compare the deterministic constraint tightening while taking a distributionally robust approach against the optimal tightening when the exact distributions of the stochastic uncertainties are known. Furthermore, we quantify the regret by comparing the performance when the distributions of the stochastic uncertainties are known and unknown. Analysing the accumulated sub-optimality of SMPC due to the lack of knowledge about the true distributions of the uncertainties marks the novel contribution of this work.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/8cbb4cd8-74d5-4168-af96-ad526c7d4e14
- author
- Pfefferkorn, Maik ; Renganathan, Venkatraman LU and Findeisen, Rolf
- organization
- publishing date
- 2024
- type
- Chapter in Book/Report/Conference proceeding
- publication status
- in press
- subject
- host publication
- Regret and Conservatism of Constrained Stochastic Model Predictive Control
- publisher
- IEEE - Institute of Electrical and Electronics Engineers Inc.
- project
- Scalable Control of Interconnected Systems
- language
- English
- LU publication?
- yes
- id
- 8cbb4cd8-74d5-4168-af96-ad526c7d4e14
- date added to LUP
- 2024-02-22 12:00:07
- date last changed
- 2024-02-26 10:35:35
@inproceedings{8cbb4cd8-74d5-4168-af96-ad526c7d4e14, abstract = {{We analyse conservatism and regret of stochastic model predictive control (SMPC) when using moment-based ambiguity sets for modeling unknown uncertainties. To quantify the conservatism, we compare the deterministic constraint tightening while taking a distributionally robust approach against the optimal tightening when the exact distributions of the stochastic uncertainties are known. Furthermore, we quantify the regret by comparing the performance when the distributions of the stochastic uncertainties are known and unknown. Analysing the accumulated sub-optimality of SMPC due to the lack of knowledge about the true distributions of the uncertainties marks the novel contribution of this work.}}, author = {{Pfefferkorn, Maik and Renganathan, Venkatraman and Findeisen, Rolf}}, booktitle = {{Regret and Conservatism of Constrained Stochastic Model Predictive Control}}, language = {{eng}}, publisher = {{IEEE - Institute of Electrical and Electronics Engineers Inc.}}, title = {{Regret and Conservatism of Constrained Stochastic Model Predictive Control}}, year = {{2024}}, }