Constraint-Tightening and Stability in Stochastic Model Predictive Control (1511.03488v2)

Abstract: Constraint tightening to non-conservatively guarantee recursive feasibility and stability in Stochastic Model Predictive Control is addressed. Stability and feasibility requirements are considered separately, highlighting the difference between existence of a solution and feasibility of a suitable, a priori known candidate solution. Subsequently, a Stochastic Model Predictive Control algorithm which unifies previous results is derived, leaving the designer the option to balance an increased feasible region against guaranteed bounds on the asymptotic average performance and convergence time. Besides typical performance bounds, under mild assumptions, we prove asymptotic stability in probability of the minimal robust positively invariant set obtained by the unconstrained LQ-optimal controller. A numerical example, demonstrating the efficacy of the proposed approach in comparison with classical, recursively feasible Stochastic MPC and Robust MPC, is provided.