Risk-Aware Stochastic MPC for Chance-Constrained Linear Systems
This paper presents a fully risk-aware model predictive control (MPC) framework for chance-constrained discrete-time linear control systems with process noise. Conditional value-at-risk (CVaR) as a popular coherent risk measure is incorporated in both the constraints and the cost function of the MPC...
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| Format: | Article |
| Language: | English |
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IEEE
2024-01-01
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| Series: | IEEE Open Journal of Control Systems |
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| Online Access: | https://ieeexplore.ieee.org/document/10578318/ |
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| author | Pouria Tooranjipour Bahare Kiumarsi Hamidreza Modares |
| author_facet | Pouria Tooranjipour Bahare Kiumarsi Hamidreza Modares |
| author_sort | Pouria Tooranjipour |
| collection | DOAJ |
| description | This paper presents a fully risk-aware model predictive control (MPC) framework for chance-constrained discrete-time linear control systems with process noise. Conditional value-at-risk (CVaR) as a popular coherent risk measure is incorporated in both the constraints and the cost function of the MPC framework. This allows the system to navigate the entire spectrum of risk assessments, from worst-case to risk-neutral scenarios, ensuring both constraint satisfaction and performance optimization in stochastic environments. The recursive feasibility and risk-aware exponential stability of the resulting risk-aware MPC are demonstrated through rigorous theoretical analysis by considering the disturbance feedback policy parameterization. In the end, two numerical examples are given to elucidate the efficacy of the proposed method. |
| format | Article |
| id | doaj-art-1bae460e39b5449aa286b693ece454c2 |
| institution | Kabale University |
| issn | 2694-085X |
| language | English |
| publishDate | 2024-01-01 |
| publisher | IEEE |
| record_format | Article |
| series | IEEE Open Journal of Control Systems |
| spelling | doaj-art-1bae460e39b5449aa286b693ece454c22025-01-09T00:03:02ZengIEEEIEEE Open Journal of Control Systems2694-085X2024-01-01328229410.1109/OJCSYS.2024.342137210578318Risk-Aware Stochastic MPC for Chance-Constrained Linear SystemsPouria Tooranjipour0https://orcid.org/0000-0002-4238-4730Bahare Kiumarsi1https://orcid.org/0000-0002-9701-8375Hamidreza Modares2https://orcid.org/0000-0003-0800-5140Department of Electrical and Computer Engineering, Michigan State University, East Lansing, MI, USADepartment of Electrical and Computer Engineering, Michigan State University, East Lansing, MI, USADepartment of Mechanical Engineering, Michigan State University, East Lansing, MI, USAThis paper presents a fully risk-aware model predictive control (MPC) framework for chance-constrained discrete-time linear control systems with process noise. Conditional value-at-risk (CVaR) as a popular coherent risk measure is incorporated in both the constraints and the cost function of the MPC framework. This allows the system to navigate the entire spectrum of risk assessments, from worst-case to risk-neutral scenarios, ensuring both constraint satisfaction and performance optimization in stochastic environments. The recursive feasibility and risk-aware exponential stability of the resulting risk-aware MPC are demonstrated through rigorous theoretical analysis by considering the disturbance feedback policy parameterization. In the end, two numerical examples are given to elucidate the efficacy of the proposed method.https://ieeexplore.ieee.org/document/10578318/Chance constraintsconditional value at riskdistributionally robust optimizationrisk -aware MPC |
| spellingShingle | Pouria Tooranjipour Bahare Kiumarsi Hamidreza Modares Risk-Aware Stochastic MPC for Chance-Constrained Linear Systems IEEE Open Journal of Control Systems Chance constraints conditional value at risk distributionally robust optimization risk -aware MPC |
| title | Risk-Aware Stochastic MPC for Chance-Constrained Linear Systems |
| title_full | Risk-Aware Stochastic MPC for Chance-Constrained Linear Systems |
| title_fullStr | Risk-Aware Stochastic MPC for Chance-Constrained Linear Systems |
| title_full_unstemmed | Risk-Aware Stochastic MPC for Chance-Constrained Linear Systems |
| title_short | Risk-Aware Stochastic MPC for Chance-Constrained Linear Systems |
| title_sort | risk aware stochastic mpc for chance constrained linear systems |
| topic | Chance constraints conditional value at risk distributionally robust optimization risk -aware MPC |
| url | https://ieeexplore.ieee.org/document/10578318/ |
| work_keys_str_mv | AT pouriatooranjipour riskawarestochasticmpcforchanceconstrainedlinearsystems AT baharekiumarsi riskawarestochasticmpcforchanceconstrainedlinearsystems AT hamidrezamodares riskawarestochasticmpcforchanceconstrainedlinearsystems |