Output‐feedback stochastic model predictive control of chance‐constrained nonlinear systems

Abstract

Abstract This study covers the output‐feedback model predictive control (MPC) of nonlinear systems subjected to stochastic disturbances and state chance constraints. The stochastic optimal control problem is solved in a stochastic dynamic programming fashion, and the output‐feedback control is performed with the extended Kalman filter. The information state is summarized as a dynamic Gaussian belief model. Thus, the stochastic Bellman equation is transformed into a deterministic equation using this model. The resulting constrained Bellman equation is solved using the proposed constrained, approximate dynamic programming algorithm. The algorithm is proved to have a Q‐superlinear local convergence rate. Numerical experiments show that the proposed algorithm can attain good control performance and reasonable chance‐constraint satisfaction and is computationally efficient owing to its dynamic programming structure.

Keywords

• constraint handling
• dynamic programming
• optimal control
• stochastic systems