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Title: Risk-Aware Model Predictive Control Enabled by Bayesian Learning
The performance of a model predictive controller depends on the accuracy of the objective and prediction model of the system. Although significant efforts have been dedicated to improving the robustness of model predictive control (MPC), they typically do not take a risk-averse perspective. In this paper, we propose a risk-aware MPC framework, which estimates the underlying parameter distribution using online Bayesian learning and derives a risk-aware control policy by reformulating classical MPC problems as Bayesian Risk Optimization (BRO) problems. The consistency of the Bayesian estimator and the convergence of the control policy are rigorously proved. Furthermore, we investigate the consistency requirement and propose a risk monitoring mechanism to guarantee the satisfaction of the consistency requirement. Simulation results demonstrate the effectiveness of the proposed approach.
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Award ID(s):
1828678 1849228 1934836
Publication Date:
Journal Name:
Proceedings of 2022 American Control Conference
Page Range or eLocation-ID:
108 to 113
Sponsoring Org:
National Science Foundation
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