Data-driven distributionally robust MPC for constrained stochastic systems

4 Mar 2021  ·  Peter Coppens, Panagiotis Patrinos ·

In this paper we introduce a novel approach to distributionally robust optimal control that supports online learning of the ambiguity set, while guaranteeing recursive feasibility. We introduce conic representable risk, which is useful to derive tractable reformulations of distributionally robust optimization problems. Specifically, to illustrate the techniques introduced, we utilize risk measures constructed based on data-driven ambiguity sets, constraining the second moment of the random disturbance. In the optimal control setting, such moment-based risk measures lead to tractable optimal controllers when combined with affine disturbance feedback. Assumptions on the constraints are given that guarantee recursive feasibility. The resulting control scheme acts as a robust controller when little data is available and converges to the certainty equivalent controller when a large sample count implies high confidence in the estimated second moment. This is illustrated in a numerical experiment.

PDF Abstract
No code implementations yet. Submit your code now

Tasks


Datasets


  Add Datasets introduced or used in this paper

Results from the Paper


  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.

Methods


No methods listed for this paper. Add relevant methods here