Robust Model Predictive Control via Scenario Optimization

This paper discusses a novel probabilistic approach for the design of robust model predictive control (MPC) laws for discrete-time linear systems affected by parametric uncertainty and additive disturbances. The proposed technique is based on the iterated solution, at each step, of a finite-horizon optimal control problem (FHOCP) that takes into account a suitable number of randomly extracted scenarios of uncertainty and disturbances, followed by a specific command selection rule implemented in a receding horizon fashion. The scenario FHOCP is always convex, also when the uncertain parameters and disturbance belong to non-convex sets, and irrespective of how the model uncertainty influences the system's matrices. Moreover, the computational complexity of the proposed approach does not depend on the uncertainty/disturbance dimensions, and scales quadratically with the control horizon. The main result in this paper is related to the analysis of the closed loop system under receding-horizon implementation of the scenario FHOCP, and essentially states that the devised control law guarantees constraint satisfaction at each step with some a-priori assigned probability p, while the system's state reaches the target set either asymptotically, or in finite time with probability at least p. The proposed method may be a valid alternative when other existing techniques, either deterministic or stochastic, are not directly usable due to excessive conservatism or to numerical intractability caused by lack of convexity of the robust or chance-constrained optimization problem.