Proceedings of the 20th World Congress

Proceedings of the 20th World Congress

Proceedings
The of the
the
International
Proceedings of 20th World
World
Federation
20th Congress
of Congress
Automatic Control
The International
Proceedings Federation
of the 20th9-14,
Worldof Congress
Automatic Control
The International
Toulouse, France,
Proceedings
The of Federation
the
International July
20th World
Federation of
2017
of
Available
Automatic
Congress online at www.sciencedirect.com
Control
Toulouse,
The France,
International
Toulouse, France,
July 9-14,
Federation
July 9-14, of Automatic
Automatic Control
2017
2017 Control
The International
Toulouse, France, Federation
July 9-14, of Automatic
2017
Toulouse, France, July 9-14, 2017 Control
Toulouse, France, July 9-14, 2017
ScienceDirect
IFAC PapersOnLine 50-1 (2017) 3313–3318
Adaptive
Adaptive Model
Model Predictive
Predictive Control
Control with
with
Adaptive
Adaptive Model
Model Predictive
Predictive Control
Control with
with
Robust
Robust
Adaptive Constraint
Constraint
Model Satisfaction
Satisfaction
Predictive Control with
Robust Constraint Satisfaction
Robust Constraint Satisfaction
Robust Constraint
Matthias ∗ Satisfaction
∗
Lorenzen ∗ , Frank Allgöwer ∗ , Mark Cannon ∗∗
∗∗
Matthias
Matthias Lorenzen
Lorenzen ∗ , Frank Allgöwer ∗ , Mark Cannon ∗∗
∗ , Frank Allgöwer ∗ , Mark Cannon ∗∗
Matthias
Matthias Lorenzen Lorenzen ∗ ,, Frank Frank Allgöwer
Allgöwer ∗ ,, Mark Mark Cannon Cannon ∗∗
∗ Matthias Lorenzen ∗ , Frank Allgöwer ∗ , Mark Cannon ∗∗
∗ Institute for Systems Theory and Automatic Control, University of
∗ Institute for Systems Theory and Automatic Control, University of
∗ Institute for
InstituteStuttgart, Systems Theory
Germany, and Automatic Control,
{matthias.lorenzen, University of
Theory (e-mail:
∗
for
for Systems Theory and
and Automatic Control,
Control, University
{matthias.lorenzen, University of
∗ InstituteStuttgart, Systems Germany, (e-mail:
Automatic
{matthias.lorenzen, of
InstituteStuttgart,
for Systems
Stuttgart,
Stuttgart,
Germany,
Theory
Germany, (e-mail:
frank.allgower}@ist.uni-stuttgart.de).
and Automatic
(e-mail:
frank.allgower}@ist.uni-stuttgart.de).
Germany, (e-mail: Control,
{matthias.lorenzen,
{matthias.lorenzen, University of
∗∗
∗∗ Department Stuttgart,frank.allgower}@ist.uni-stuttgart.de).
of Engineering
Germany, Science,(e-mail: {matthias.lorenzen,
frank.allgower}@ist.uni-stuttgart.de).University of Oxford, United
∗∗ Department of Engineering Science,
frank.allgower}@ist.uni-stuttgart.de).University of Oxford, United
∗∗ Department
∗∗
Department Kingdom,
Kingdom,
of
of Engineering
(e-mail:
Engineering
(e-mail:
Science,
Science, University
mark.cannon@eng.ox.ac.uk).
frank.allgower}@ist.uni-stuttgart.de).University
mark.cannon@eng.ox.ac.uk).
of
of Oxford,
Oxford, United
United
∗∗ Department Kingdom, of Engineering
(e-mail: Science, University
mark.cannon@eng.ox.ac.uk). of Oxford, United
Department Kingdom, of Engineering
(e-mail: Science, University
mark.cannon@eng.ox.ac.uk).
Kingdom, (e-mail: mark.cannon@eng.ox.ac.uk). of Oxford, United
Kingdom, (e-mail: mark.cannon@eng.ox.ac.uk).
Abstract:
Abstract: Adaptive Adaptive
Adaptive controlcontrol
control for for constrained,
for constrained,
constrained, linear linear systems
linear systems
systems is is addressed
is addressed
addressed and and
and aaa solution
solution
solution based based
based
Abstract:
on Model
Abstract: Predictive
Adaptive Control
control (MPC)
for and
constrained, set-membership
linear systems system
is identification
addressed and a is
solution presented.based
on
on Model
Abstract:
Model Predictive
Adaptive
Predictive Control
control (MPC)
for and
constrained, set-membership
linear systems system
is identification
addressed and a is
solution presented.based
The
Abstract:
on
TheModel paper introduces
Adaptive control
paper Predictive
introduces aControl
Control (MPC)
computationally
for
(MPC) and
constrained,
and set-membership
tractable
linearsolution
systems
set-membership system
which uses
is addressed
system identification
observations
and a solution
usesidentification
is
of
is presented.
past
pastbased
of presented. state
on
The
and
on
The
Model
paper
input
Model
paper
Predictive
introduces
trajectories
Predictive
introduces aaControl
a to
computationally
update
Control
(MPC)
computationally
computationallythe
(MPC)
and
model
and
tractable
tractable
and
tractable
solution
set-membership
solution
improve
set-membership
solution
which
control
system
which
system
which uses observations
identification
observations
performance
usesidentification
observationswhile
isof
is
presented.
past
maintaining
of presented.
past
state
state
state
and
The
and input
paper
input trajectories
introduces a to update
computationallythe model and
tractable improve
solution control
which performance
uses observationswhile maintaining
of past state
The
and
and paper trajectories
guaranteed
input
guaranteed
input constraint
introduces
constraintato
trajectories
trajectories
to
to
update
satisfaction
computationally
update
update the
satisfaction
the
theand
and
model
model
model
and
recursive
tractable
and improve
feasibility.
solution
and improve
recursive feasibility.
improve
control
control
controlThe
which performance
developed
The performance
developed
performance
while
approach
uses observations while of
while
approach
maintaining
is
past
maintainingapplied
is applied
maintaining state
applied
guaranteed
to
and a stabilizing
input
guaranteed constraint
MPC
trajectories
constraint satisfaction
scheme
to update
satisfaction and theand
andmodelrecursive
practical and
recursive feasibility.
stability
improve under
feasibility.controlThe
The developed
persistent,
performance
developed approach
additivewhile
approach is
disturbance
maintaining
is applied is
to aa stabilizing
to stabilizing
guaranteed MPC scheme
constraint
MPC scheme
satisfaction and and
and practical stability
recursive
practical under The
feasibility.
stability under persistent,
developed
persistent, additive
approach
additive disturbance
is applied
disturbance is
is
proved.
guaranteed
to a
proved.
to A
a stabilizingnumerical
constraint
A numerical
numerical
stabilizing MPC example
satisfaction
scheme
example
MPCexample scheme and and
and
and brief
and comparison
recursive
practical
brief
and brief
practical stability
comparison with
feasibility.
with
stabilitywith non-adaptive
under The
persistent,
non-adaptive
under persistent,MPC MPC
developed additive
MPC
additiveis
approachprovided. is
disturbance
disturbance is
is provided.
provided. applied is
proved.
to
proved. A
a stabilizing
A MPCexample scheme and and brief comparison
practical stabilitywith non-adaptive
under persistent,MPC additiveis disturbance is
© 2017, IFAC
proved. A numerical
numerical example
(International and
Federation brief comparison
comparison
of Adaptive
Automatic with
Control)
non-adaptive
non-adaptive MPC is provided.
Ltd.is provided.
Keywords:
proved.
Keywords: Model
A numerical
Model Predictive
example
Predictive Control,
and brief
Control, comparison
Adaptive withHosting
Control,
Control, Constraint
non-adaptive
Constraint
by Elsevier
Satisfaction
MPC
Satisfaction isAll rights reserved.
Problems,
provided.
Problems,
Keywords:
Uncertain
Keywords: Model
Linear
Model Predictive
Systems,
Predictive Control,
System
Control, Adaptive
Identification
Adaptive Control,
Control, Constraint
Constraint Satisfaction
Satisfaction Problems,
Problems,
Uncertain
Keywords: Linear
Uncertain Linear
Model Systems,
PredictiveSystem Control, Identification
Adaptive Control, Constraint Satisfaction Problems,
Keywords:
Uncertain
Uncertain Linear Model Systems,
Linear PredictiveSystem
Systems,
Systems, Control,
System
System
Identification
Adaptive Control, Constraint Satisfaction Problems,
Identification
Identification
Uncertain 1. Linear Systems, System Identification identification only to update a nominal prediction model.
INTRODUCTION
1. INTRODUCTION
1. INTRODUCTION identification only to update aa nominal prediction model.
1. INTRODUCTION
INTRODUCTION identification
Recursive
identification only
feasibility
only to
to update
and
update aa nominal
constraint nominal prediction
satisfaction
prediction is model.
guaran-
model.
Model Predictive 1.
Control (MPC) has become one of the Recursive
identification
Recursive feasibility
only
feasibility toand
and constraint
update
constraint nominal satisfaction
prediction
satisfaction is
is guaran-
model.
guaran-
Model Predictive 1. INTRODUCTION
Control (MPC) has become one of the teed by
Recursive
teed by
Recursive employing
identification only
feasibility
employing
feasibility Robust
to update
and
Robust
and MPC
constraint
MPC
constrainta methods
nominal satisfaction
methods
satisfaction based
prediction
based is
is on an
model.
guaran-
on an
guaran- a
a
Model
main
Model Predictive
tools to
Predictive Control
handle
Control (MPC)
multivariable
(MPC) has
has become
constrained
become one
one of
of the
control
the teed by employing Robust MPC methods based on an a
main
Model tools to
Predictive handle
Control multivariable
(MPC) hasconstrainedconstrained
become onecontrol control
of the prioripriori
Recursive
teed by
teed bygiven uncertainty
feasibility
employing
given uncertainty
employing and
Robust
Robust set
set which
constraint
MPC
which
MPC is
methods
is
methods not
not updated.
satisfaction is
based on
updated.
based onIn
In Kim
guaran-
an
Kim
an a
a
main
problems.
Model
main tools The
toolsThe to
Predictive handle
basic
to basic Control
handleidea multivariable
idea is to
(MPC)
multivariable solvehas an open-loop
become
constrained one finite-
of the
control prioriSugie
given uncertainty set MPC
which methods is not not updated. In an
Kim
problems.
main tools to handle is to
multivariable solve an open-loop
constrained finite-
control and
teed
priori
and
priori bygiven
Sugie
given (2008)
employing Adaptive
uncertainty
(2008) Robust
Adaptive
uncertainty set
set which
MPC
which for
is
for
is linear
linear
not SISO
based
updated.
SISO
updated. systems
onIn Kim
systems
In Kim a
problems.
horizon
main
problems. The
optimal
tools The basic
to basic control
handle
basic idea is
problemto
multivariable
idea is to solve
to solve in
solve an
each open-loop
sampling
constrained
an open-loop finite-
time,
control
finite- and Sugie (2008) Adaptive MPC for linear SISO systems
horizon
problems. optimal
The controlidea problem
is in each
an sampling
open-loop time,
finite- based
priori
and
based on
Sugie
on a
given modified
uncertainty
(2008)
aa (2008)
modified least
Adaptive
least setsquares
which
MPC
squares estimation
is
for
MPC estimation not
linear is
updated.
SISO
is introduced
In Kim
systems
introduced
horizon
given
problems.
horizon
given the
horizon theoptimal
current
The basic
optimal
theoptimal
current
control
state
control
state
controlidea problem
and
and is a
problem model
atomodel
problem model
in
in of
solve
in
each
ofanthe
each
eachthe
sampling
process.
open-loop
sampling
sampling time, and
time,
Since
process. finite-
Since
time, based
but
and
based
Sugie
the on
approach
Sugie
on modified
aa (2008)
modified
Adaptive
least
crucially
Adaptive
least squares
relies
MPC
squares on
for linear SISO
estimation
the
for
estimation is
assumption
linear SISO
is
systems
introduced
of noise
systems
introduced
given
the current
performance
horizon optimal andstate
control and
validity a
problem of MPC in of the
crucially
each process.
depends
sampling Since
on
time, but
based
but the
the approach
on
approachmodified crucially
least
crucially relies
squares
relies on
on the
estimation
the assumption
is
assumption of
of noise
introduced
noise
given
the
given the current
performance
the currentand andstate
state and
validity a model
of
and aofmodel MPC of the
crucially
of process.
depends
the process. Since
on
Since and
based
but additive
the on a
approach disturbances
modified least
crucially being
squares
relies absent.
on estimation
the To improve
is
assumption system
introduced
of noise
the
given performance
model
the accuracy,
current validity
Robust
state and aand MPC
model crucially
Stochastic
of the MPCdepends
process. has on
re-
Since and
but
and additive
the approach
additive disturbances
crucially
disturbances being
relies
being absent.
on the
absent. To
To improve
assumption
improve system
of noise
system
the performance
the performance
model accuracy, and Robust
and validity and
validity of MPC
of MPC crucially
Stochastic
crucially MPCdepends
dependshas on but
re-
on identification,
and the approach
additive in Heirung
crucially
disturbances et al.
relies
being (2012)
on the
absent. the MPC
assumption
To improve cost of func-
noise
system
the
ceivedmodel
much accuracy,
performance attention Robust
and Robust(Rawlings
validity and Stochastic
and
of MPC Mayne
crucially MPC
(2009),
dependshasKou-re- identification,
and additive
on identification, in
in Heirung
disturbances
Heirung et
et al.
being
al. (2012)
absent.
(2012) the
To
the MPC
improve
MPC cost
cost func-
system
func-
the
ceived
the model
much
model accuracy,
attention
accuracy, Robust
(Rawlings and
and Stochastic
and Mayne
Stochastic MPC
(2009),
MPC has
hasKou-re-
re- tion
and explicitly
additive
identification, inreflects
disturbances
Heirung the et cost
being
al. of
(2012) model
absent. To
the uncertainty
improve
MPC cost and
system
func-
ceived
varitakis
the
ceived
varitakis
ceived
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model and
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and
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attention
Cannon
accuracy,
attention
Cannon
attention
(Rawlings
(2016)).
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(Rawlings
(2016)).
(Rawlings
and
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and and
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Mayne
these
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these
Mayne
(2009),
approaches
MPC
(2009),
approaches
(2009), hasKou-
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are
are
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balances
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identification,
explicitly
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inreflects
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reflects
identification
in Heirung
the
the
and
etcost
et cost
al.
of
al. (2012)
of
regulation
(2012)
model
model the uncertainty
the
MPC cost func-
uncertainty
objectives.
MPC cost
and
and
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varitakis and Cannon (2016)). While these approaches are tion
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explicitly reflects
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and
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cost of
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and
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ceived
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andhandle
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(Rawlings
unmodelled
(2016)). dynamics
(2016)). dynamics and
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and fast
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(2009), Kou-
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to the identification
approach
explicitly presented
reflects and
the regulation
in
cost this
of paper,
model objectives.
a Similar
combination
uncertainty and
suitable to handle unmodelled dynamics andapproaches
fastforchanging balances
to the
balances identification
approach
identificationpresentedand
and regulation
in this
regulation paper, objectives.
a Similar
combination
objectives. Similar
disturbances
varitakis
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to
to they
Cannon
handle
they
handle are
are inherently
(2016)).
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of the approach
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and
regulation paper,
robust a combination
constraint
objectives. tight-
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disturbances they are inherently conservative for slowly of to the approach
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estimation in
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of set-membership
ening has been
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To
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of has
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relies on in
uncertain
estimation Tanaskovic
and FIRrobust et
models al. (2014).
and
constraint is But
hence
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the cost of manual tuning in MPC and cope with slowly ening
the
ening has
algorithm
has been
been proposed
relies on
proposed in
uncertain
in Tanaskovic
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models
et al.
al. (2014).
and is
(2014). But
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the cost dynamics,
or constant
manual tuning
dynamics,
of manual e.g.
tuning
e.g. due
parametric
due in to
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changing and cope
and environment
uncertainty.
cope To
with slowly
environment
with and
reduce
slowly
and the algorithm
restricted
ening has to
been relies
stable on uncertain
systems
proposed in and
TanaskovicFIR
requires models
et long
al. and is hence
prediction
(2014). But
changing dynamics, e.g. due to changing environment and the
the algorithm
restricted
algorithm to relies
stable
relies on
on uncertain
systems
uncertain and FIR
requires
FIR models
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and is
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hence
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the to
which
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increases
relies on the
uncertain and requires
computationally
FIR models long prediction
complexity
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to stable systems
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and requires
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self-tuning
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and
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since
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restricted which
uncertainty
to stable
which increases
is
increases the
described
systems the andcomputationally
as aa polytope
requires
computationally long complexity
in a high-
prediction
complexity
control
available,
wear, formulations
therecf. Qin
is a and
strong but only
Badgwell
interest few solution
(2003).
in self-tuning strategies
predictive are since
horizons
since the
the uncertainty
which
uncertainty is
increases
is described
the
described as
computationally
as polytope
aa polytope in
in a
a high-
complexity
high-
control
available,
control formulations
cf. Qin
formulations and but only few
Badgwell
but only few solution strategies
(2003).
solution strategies are are horizons
dimensional
since the which space.
uncertainty increases
is the computationally
described as polytope complexity
in a high-
available,
control cf. Qin
formulations and Badgwell
but only (2003).
few solution strategies are dimensional
since the
dimensional space.
uncertainty
space. is described as a polytope in a high-
available,
available,
While the cf.
cf. Qin
Qin
main and
and
idea Badgwell
Badgwell
is simple, (2003).
(2003).
combining closed-loop since the
dimensional uncertainty
space. is described as a polytope in a high-
While the
available,thecf.main
main
Qin and ideaBadgwell
is simple,
simple, closed-loop In
combining closed-loop
(2003). dimensional
contrast, space.
we present an Adaptive MPC algorithm for
While
system identification idea is
with Model combining
Predictive Control, the In
In contrast,
dimensional
contrast, we
space.
we present
present an
an Adaptive
Adaptive MPC
MPC algorithm
algorithm for
for
While
system
While the
the main
identification
main ideawith
idea is simple,
is simple,
Model combining Control,
Predictive
combining closed-loop
closed-loop the linear
In systems
contrast, we with model
present an uncertainty
Adaptive MPC and additive
algorithm dis-
for
system
problem
While identification
theis finding
main a
idea with
rigorous,
is Model
simple, yet Predictive
tractable
combining Control,
formulation
closed-loop the linear
In
linear systems
contrast,
systems we with
with model
present
model an uncertainty
Adaptive
uncertainty MPC and
and additive
algorithm
additive dis- dis-
for
dis-
system
problem
system identification
is finding
identification a with
rigorous,
with Model
Model yet Predictive
tractable
Predictive Control,
formulation
Control, the In
the turbances
contrast,
linear systems in a
we more
present
with general
model an state-space
Adaptive
uncertainty MPC andformulation.
algorithm
additive In
for
problem
with
system is
provable finding
constraint
identification a rigorous,
satisfactionyet tractable
and formulation
stability proper- turbances
linear systems in a more
with general
model state-space
uncertainty andformulation.
additive In
dis-
problem
with
problem is
provable
is finding
constraint
finding aa with
rigorous,Model
satisfaction
rigorous, yet
yet Predictive
tractable
and
tractable Control,
formulation
stability proper-
formulation the turbances
particular,
linear
turbances systems in
ina aasuitable,
more
with
more general
model
general state-space
computationally
uncertainty
state-space andformulation.
tractable
additive
formulation. combi-In
dis-
In
with
ties.
problem provable
Most issystemconstraint
finding satisfaction
identification
a rigorous, methods
yet and stability
lack
tractable error proper-
bounds
formulation particular,
turbances
particular, ina
a asuitable,
more
suitable, computationally
general state-space
computationally tractable
formulation.
tractable combi-
combi-In
with
ties.
with provable
Most system
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and set-
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suitable, computationally
system recursive
tractable
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and combi-
set-
or
temsconvergence
and in the guarantees
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nation state
of prediction
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system recursive
identification feasibility
and set-
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tems
or Most
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in
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to guarantee
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introduced.
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We
andfocusset-
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given
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constraint to guarantee
satisfaction is
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recursive feasibility
We focus
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surement
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and in the
noise.
in the presence
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of additive
given
additive a disturbance
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based
and stabilization,
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prediction the toproposed
guarantee
satisfaction iscombination
recursive
introduced. of
We system
feasibility
focus
surement
certainty
tems noise.
and model,
in Similarly,
most
the presence Robustofgiven MPC
additive aa disturbance
formulations
disturbance and and
orrely un-
on
mea- on
and
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robust constraint
stabilization, but
but the
the proposed
satisfaction
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introduced. of Wesystem
focus
surement
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surement noise.
model,
noise. Similarly,
most Robust
Robust
Similarly, given
given MPC disturbance
formulations
a disturbance rely
and un-
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stabilization,
identification
on stabilization, and
and constraint
but the
constraint
but the tightening
satisfaction
proposed
tightening
proposed iscombination
constitutes
introduced.
combination
constitutes
combination
of
Wesystem
of
of a solid
focus
system
a solid
system
certainty
extensive
surement
certainty model,
offline
noise.
model, most
computations
Similarly,
most Robust given MPC
and
MPC a formulations
hence are
disturbance
formulations not rely
suitable
and
rely on
un-
on identification and constraint tightening constitutes a solid
extensive
certainty offline
model, computations
most Robust and and
MPChencehence are
formulations not suitable basis
on
rely on identification
basis for
for
identificationfuture
stabilization,
future and
and work
but on
the
constraint
work on
constraintDual
proposed
Dual MPC
tightening
MPC
tightening or
or tracking
combination
constitutes
tracking
constitutes problems
of system
a
problems
a solid
solid
extensive
for a
certainty
extensive offline
changing
model, computations
uncertainty
most
offlineuncertainty Robust
computations description.
MPC
and hence
hence are are
formulations not
are not suitable
rely
not suitable on
suitable basis basis for future
future work on Dual
Dual MPC orvarying
tracking problems
for a changing
extensive offline computations description.
and for
for
basis systems
identification
for
systems
for future with
and
with uncertain
constraint
work
work on
uncertain
on Dual or
or slowly
tightening
MPC
slowly
MPC or tracking
varying
or tracking parameters.
constitutes a
problems
parameters.
problemssolid
for
for a changing
extensive uncertainty
offlineuncertainty
computations description.
and hence are not suitable for systems with uncertain or slowly varying parameters.
for
In aa changing
changing
Aswani et uncertainty
al. (2013) anddescription.
description.
Di Cairano (2016) the de- Our
basis
for approach
for
systems future with builds
work upon
on
uncertain Dual results
or MPC
slowly on or Homothetic
tracking
varying Tube
problems
parameters.
In Aswani
for Aswani
a changing et al. (2013) and
uncertainty and Di Cairano (2016)
description. (2016) the the de-de- Our for
Our
MPC,
approach
systems
approach
cf.
with
Langson
builds
builds
et al.
upon
uncertain
upon
(2004),
results
or slowlyon
results
Raković on Homothetic
varying
Homothetic
and Cheng
Tube
parameters.
Tube
(2013).
In
scribed
In
In Aswani
scribed
Aswani
et
et al.
problem
problem
et al. has
al.
(2013)
been
(2013)
has been
(2013) and
and
Di
Di Cairano
circumvented
circumvented
Di Cairanoby
Cairano by using
(2016)
using
(2016) system
the
system
the de- for
de-
Our
MPC,
Our
MPC,
systems
approach
cf.
approach
cf.
with
Langson
Langson
uncertain
builds
et
builds
et al.
al.
upon
(2004),
upon
(2004),
or slowly
results
Raković
results
Raković
on
on varying
Homothetic
and
Homothetic
and
parameters.
Cheng
Cheng
Tube
(2013).
Tube
(2013).
scribed
In Aswani
scribed problem
et
problem al. has been
(2013)
has been andcircumvented
Di
circumventedCairano by
by using
(2016)
using system
the
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MPC,
MPC, approach
cf.
cf. Langson
Langson builds
et
et al.
al.upon
(2004),
(2004), results
Raković
Raković on Homothetic
and
and Cheng
Cheng Tube
(2013).
(2013).

scribed
 Matthias problem
Lorenzen hasandbeen
Frankcircumvented
Allgöwer wouldbylike using system
to thank the Remainder:
Remainder: In
In Section
Section 2
2 the
the main
main assumptions
assumptions and
and prob-
prob-
Matthias
scribed
 Lorenzen
problem hasand Frank
been Allgöwer
circumvented would like to
bylikeusing thank
system the MPC,
Remainder:cf. Langson
In et
Sectional. (2004),
2 the main Raković and
assumptions Cheng and (2013).
prob-
Matthias
German
 Matthias Lorenzen
Research
Lorenzen and
Foundation
and Frank Allgöwer
(DFG) would
for financial to thank
support of the lem
lem setup
Remainder:
setup
Remainder: are
are Inintroduced.
In Section
Section 22 the
introduced. In
In
the Section
main
main assumptions
Section 33 the
the
assumptions system
system and
and identifi-
prob-
identifi-
prob-

German
Matthias Research
Lorenzen and Frank
Foundation Frank Allgöwer
(DFG)
Allgöwer would
would like
for financial to
to thank
likesupport
thank of the
the lem setup are introduced. In Section 3 the system identifi-
German

project
Matthias
German
project
Research
within the
Lorenzen
Research
within the
Foundation
Cluster
and
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of
Frank
of
(DFG)
Excellence for
Allgöwer
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Excellence for in
in
financial
Simulation
would
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Simulation
support
to thank
support of
Technology
of
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the cation
Remainder:
lem
cation
lem and
setup
and
setup constraint
are In Section
introduced.
constraint
are introduced.reformulation
2 the
In main
Section
reformulation
In Section are
are 3
3 presented
assumptions
the system
presented
the system andfollowed
prob-
identifi-
followed
identifi-
German
project Research
within the Foundation
Cluster of (DFG) forinfinancial
Excellence Simulation support of the
Technology cation and constraint reformulation are presented followed
(EXC 310/2)
German
project
(EXC
project within
310/2)
atthe
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withinat
theFoundation
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Cluster
theCluster
the University of of Stuttgart.
(DFG)
Excellence for
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of Excellence infinancial
Simulation support of
Technology
in Simulation Technology the lem
cation setup
and are introduced.
constraint In Section
reformulation
cation and constraint reformulation are presented followed are 3 the system
presented identifi-
followed
(EXC
project 310/2)
withinat the University of Stuttgart. cation and constraint reformulation are presented followed
(EXC
(EXC 310/2)
310/2) atthe
at theCluster
the University
University of Excellence
of
of Stuttgart.
Stuttgart. in Simulation Technology
(EXC 310/2)
Copyright
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(International 3368Hosting by Elsevier Ltd. All rights reserved.
Federation of Automatic Control)
Copyright © 2017 IFAC 3368
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under
2017 IFAC
responsibility
IFAC 3368
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Copyright © 2017 IFAC
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Proceedings of the 20th IFAC World Congress
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by a stabilizing Adaptive MPC algorithm and its proper- The states xl|k , predicted l steps ahead from time k, are
ties. A numerical example is presented in Section 4 and an modelled by a set-based formulation with dynamics
outlook on future research concludes the paper. X0|k  xk , (6a)
Notation: Uppercase letters are used for matrices, lower Xl+1|k ⊇ Acl (θ)Xl|k ⊕ B(θ)vl|k ⊕ W ∀θ ∈ Θk (6b)
case for vectors. [A]j and [a]j denote the j-th row and entry ensuring that xl|k ∈ Xl|k for all disturbance and uncer-
of the matrix A and vector a, respectively. By 1 we denote tainty realizations.
a column vector of ones of appropriate size. R≥0 is the set
of the non-negative reals and Nba = {n ∈ N | a ≤ n ≤ b}. With this the state and input constraints are robustly
Continuous, strictly increasing functions α : R≥0 → R≥0 satisfied if
with α(0) = 0 (and limr→∞ α(r) = ∞) are denoted (xl|k , ul|k ) ∈ Z ∀xl|k ∈ Xl|k . (7)
K (K∞ ). A ⊕ B denotes the Minkowski set addition. The MPC cost function to be minimized is given by
N
 −1
2. PROBLEM SETUP JN (xk , dk ) = (Xl|k , vl|k ) + V (XN |k ) (8)
Consider the discrete-time, linear system with state xk ∈ l=0
Rn , input uk ∈ Rm , additive disturbance wk ∈ W ⊆ Rn , with decision variables dk = {Xl|k , vl|k }l∈NN , stage cost ,
and unknown but constant parameter θ = θ∗ ∈ Rp
0
and terminal cost V . For a given state xk and terminal set
xk+1 = A(θ)xk + B(θ)uk + wk . (1) XT define the optimal value function
Assumption 1. (Disturbance and Uncertainty). The distur- VN (xk ) = min JN (xk , dk ) s.t. (6), (7), XN |k ⊆ XT , (9)
bance set W is a bounded, convex polytope given by dk

W = {w | Hw w ≤ hw }. and denote its minimizer d∗ = {X∗l|k , vl|k

∗
}l∈NN
0
. The MPC
The system matrices depend affinely on parameters θi ∈ R control law u : R → R is given by
n m
∗
p
 u(xk ) = Kxk + v0|k . (10)
(A(θ), B(θ)) = (A0 , B0 ) + (Ai , Bi )θi (2)
i=1
In the following, we derive a computationally tractable
with the prior parameter set given by reformulation for the parameter estimation (5) and the
optimization (9) with suitable cost functions , V and sets
Θ = {θ | Hθ θ ≤ hθ } (3) Xl|k to solve the regulation problem.
containing the true parameter vector θ∗ = [θ1∗ , . . . , θp∗ ] .
3. MAIN RESULTS
To capture actuator saturation or restrict the state to de-
sirable operating regions, we assume mixed state and input In this section we recall set-membership system identi-
constraints which can be modelled with linear inequalities. fication for the state space description (1), (2) followed
The state and input should be contained in some compact by a computationally tractable parametrization for the
polytopic set state tube {Xl|k }l∈NN
0
and a derivation of suitable cost
Z = {x ∈ Rn , u ∈ Rm | F x + Gu ≤ 1} (4) and terminal constraints. The section concludes with a
summary of the MPC algorithm and an analysis of closed-
with given matrices F ∈ Rc×n and G ∈ Rc×m .
loop stability.
This leads us to the following problem formulation: Find
a stabilizing controller for system (1) such that the con- 3.1 System Identification
straints (4) are satisfied robustly and the model uncer-
tainty (3) is taken into account and updated consistently Let D(x, u) ∈ Rn×p be defined by
with the state and input history. D(x, u) = [A1 x + B1 u, A2 x + B2 u, . . . , Ap x + Bp u] .
At time k ≥ 1, given xk−1 , uk−1 , and xk , let dk =
To solve the control problem, a Tube MPC algorithm with
A0 xk−1 + B0 uk−1 − xk , then the non-falsified parameter
online set-membership system identification is considered.
set can be described by
We introduce the information state Θk to explicitly model
the knowledge on the parameter at time k and its influence ∆k = {θ | xk − (A(θ)xk−1 + B(θ)uk−1 ) ∈ W}
(11)
on state prediction, cost and constraint satisfaction. Θk is = {θ | − Hw D(xk−1 , uk−1 )θ ≤ hw + Hw dk }.
given by the set of parameters consistent with the prior With this the information state of the uncertain parameter
set Θ and the state and input trajectories {xi , ui }i∈Nk0 θ is given by
observed up to time k Θk = Θk−1 ∩ ∆k (12)
Θk = {θ ∈ Θ | ∀{xi , ui }i∈Nk0 ∃wi ∈ W s.t. (1)}. (5) with initial condition Θ0 = Θ.
To cope with state predictions under uncertainty, an input Lemma 3. The set Θk is a convex, polytopic set explicitly
parametrization given in half-space form
ul|k = Kxl|k + vl|k Θk = {θ | Hθk θ ≤ hθk } (13)
is introduced with prestabilizing feedback gain K ∈ Rm×n with Hθk ∈ Rqk ×p and hθk ∈ Rqk . For all k ≥ 0 it holds
and variables vN |k = {vl|k }l∈NN −1 , vl|k ∈ Rm . The that Θk+1 ⊆ Θk .
0
feedback gain K can be determined by standard robust Although not necessary from a theoretical perspective, a
control methods to satisfy the following assumption. minimal representation of Θk should be used to decrease
Assumption 2. The feedback gain K is chosen such that the computational load of the MPC algorithm. Redun-
Acl (θ) = A(θ)+B(θ)K is quadratically stable for all θ ∈ Θ. dant constraints in (13) can be removed efficiently by

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solving a series of LPs, cf (Blanchini and Miani, 2015, side being convex in x for given θ and since Xl|k does not
Section 3.3). The number of non-redundant half-spaces depend on θ, the inequality holds for all xl|k ∈ Xl|k if it
qk might grow without bound, creating the necessity of holds for the vertices of Xl|k . In the third equivalence the
an approximation under which Lemma 3 remains valid, max is to be understood row-wise and the last equivalence
e.g. by explicitly restricting the number of half-spaces as follows from strong duality in linear programming. Con-
proposed in Tanaskovic et al. (2014). sidering row i ∈ Nu1 in the maximisation, which is finite
since Θk is compact, it holds that
3.2 State Tube and Constraint Satisfaction  
j
max [Hx ]i Dl|k θ
Restricting the sets Xl|k , which contain predicted states, θ∈Θk
 
to be translations and dilations of a given polytope X0 , j
θ + λ
= minq max [Hx ]i Dl|k i (hθk − Hθk θ)
the MPC optimization (9) can be recast as a computa- k
λi ∈R≥0 θ
tionally tractable, convex, finite dimensional optimization
program. This parametrization for Tube MPC has previ- = minq λ
i h θk
k
λi ∈R≥0
ously been introduced in Langson et al. (2004). With given
j
Hx ∈ Ru×n and free variables zl|k ∈ Rn , αl|k ∈ R≥0 let s.t. [Hx ]i Dl|k − λ
i Hθk = 0.
Xl|k = {zl|k } ⊕ αl|k X0 Since the minimization in the inequality constraint can be
= {x | Hx (x − zl|k ) ≤ αl|k 1} (14) removed, this concludes the proof. 
= {zl|k } ⊕ αl|k co{x1 , x2 , . . . , xv }. Remark 5. The equality constraint (15d) can equivalently
be written in standard vector form as
 
The explicit description in both, vertex and half-space
form of Xl|k can be exploited to obtain linear constraints Hx A1 Hx A1 xj Hx B1 −Iu ⊗ [Hθ ]1 zl|k
Hx A2 Hx A2 xj Hx B2 −Iu ⊗ [H  ]2  αl|k 
for the predictions (6) and constraints (7).  θ   = 0,
 ...  ul|k 
Proposition 4. Let {Xl|k }l∈NN be parametrized as in (14) j 
0
j
Hx Ap Hx Ap xj Hx Bp −Iu ⊗ [Hθ ]p vec((Λl|k ) )
with decision variables zl|k , αl|k . Define Dl|k = D(xjl|k , ujl|k ),
with [·]l being the l-th row of the matrix.
djl|k = A0 (xjl|k ) + B0 ujl|k − zl+1|k , with xjl|k = zl|k + αl|k xj ,
ujl|k = Kxjl|k + vl|k . Define [w̄]i = maxw∈W [Hx ]i w for all 3.3 Terminal Constraint and Min-Max Cost
i ∈ Nu1 and [f¯]i = maxx∈X0 [F + GK]i x for all i ∈ Nc1 . To derive a stabilizing MPC algorithm we employ a
Equation (6) and (7) are satisfied if and only if for all suitable terminal constraint and terminal cost. To take
into account the parameter learning for performance, we
j ∈ Nv1 , l ∈ NN
0
−1
there exists Λjl|k ∈ Ru×q
≥0
k
such that consider a cost which is positive definite with respect to
(F + GK)zl|k + Gvl|k + αl|k f¯ ≤ 1 (15a) the desired steady state xss = 0.
− Hx z0|k − α0|k 1 ≤ −Hx xk (15b) The terminal constraint set XT is assumed to be robust
Λjl|k hθk + Hx djl|k − αl+1|k 1 ≤ −w̄ (15c) invariant and λ-contractive for the undisturbed system
j
and state tube Xl|k .
Hx Dl|k = Λjl|k Hθk . (15d) Assumption 6. There exists a nonempty terminal set
XT = {(z, α) ∈ Rn+1 | HT z + hT α ≤ 1}, λ ∈ (0, 1) such
Proof. Inequality (7) is equivalent to that for all θ ∈ Θ it holds
(F + GK)zl|k + Gvl|k + αl|k (F + GK)x ≤ 1 ∀x ∈ X0 (z, α) ∈ XT ⇒ ∃(z + , α+ ) ∈ λXT s.t.
which is equivalent to (15a) by maximising over x ∈ X0 .
Acl (θ)({z} ⊕ αX0 ) ⊆ {z + } ⊕ α+ X0 ,
Inequality (15b) is equivalent to (6a) and (15c), (15d) are (z, α) ∈ XT ⇒ ∃(z + , α+ ) ∈ XT s.t.
equivalent to (6b) as shown by the following reformulation.
Acl (θ)({z} ⊕ αX0 ) ⊕ W ⊆ {z + } ⊕ α+ X0 ,
Xl+1|k ⊇ Acl (θ)Xl|k ⊕ B(θ)vl|k ⊕ W ∀θ ∈ Θk
(z, α) ∈ XT ⇒ (x, Kx) ∈ Z ∀x ∈ {z} ⊕ αX0 .
Hx (A(θ)xl|k + B(θ)ul|k + w − zl+1|k ) ≤ αl+1|k 1
⇔ Note that XT can be determined recursively, analogous to
∀xl|k ∈ Xl|k , θ ∈ Θk , w ∈ W
j standard algorithms in nominal linear MPC with the state
Hx (Acl (θ)(zl|k + αl|k x ) + B(θ)vl|k − zl+1|k ) replaced by the set dynamics in (z, α). If Assumption 2 is
⇔
− αl+1|k 1 ≤ −w̄ ∀j ∈ Nv1 , θ ∈ Θk satisfied, X0 can be chosen as a robust invariant set and
 
max Hx (Acl (θ)(zl|k + αl|k xj ) + B(θ)vl|k ) hence Assumption 6 is satisfied if (x, Kx) ∈ Z ∀x ∈ X0 .
⇔ θ∈Θk With Assumption 6, the terminal constraint in the MPC
− Hx zl+1|k − αl+1|k 1 ≤ −w̄ ∀j ∈ Nv1 optimization is given by
 
⇔ max Hx Dl|k θ + Hx djl|k − αl+1|k 1 ≤ −w̄
j
∀j ∈ Nv1 HT zN |k + hT αN |k ≤ 1. (16)
θ∈Θk
 j  In line with the set-membership approach, we consider a

 Λl|k hθk + Hx djl|k − αl+1|k 1 ≤ −w̄

  worst case cost for robustly stabilizing the system to a set
j j
⇔ Hx Dl|k = Λl|k Hθk ∀j ∈ Nv1 containing the origin. Define
 

 

 Λj ∈ Ru×qk  (Xl|k , ul|k ) = max Qxl|k ∞ + Rul|k ∞ (17)
l|k ≥0 xl|k ∈Xl|k
The first equivalence follows from x ∈ Xl+1|k ⇔ Hx (x − with cost matrices Q and R of rank n and m, respectively.
zl+1|k ) ≤ αl+1|k 1. The second follows from the left hand A weighted maximum norm instead of a more standard

3370
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quadratic cost is used in order to obtain an efficiently
solvable linear program. Alternatively, the maximum over
a quadratic cost could be employed, but would lead to
second order cone constraints.
t̄r
Let t̄r = maxx∈XT {Qx∞ + RKx∞ } and tT > 1−λ ,
define the terminal cost
V (zN |k , αN |k ) = min γtT
γ
s.t. zN |k + αN |k X0 ⊆ γXT .
Remark 7. To derive a stabilizing MPC algorithm in the
presence of uncertainty and disturbances it is common
to consider a cost which is either positive definite with
respect to an offline designed (minimal) robust positively
invariant target set T or which penalizes the deviation
from the input to some nominal control law κ0 . In the
presented Adaptive MPC this approach would not improve
the performance unless the target set T or nominal control
law κ0 would be recomputed in each iteration, taking the
updated parameter set into account.
3.4 Adaptive MPC Algorithm
Having derived tractable reformulations for the parameter
estimation (5) and optimal control problem (9), we sum-
marize the Adaptive MPC algorithm and provide a brief
analysis of the control theoretic properties.
The algorithm can be divided into two parts: (i) an of-
fline computation of the terminal sets and (ii) the re-
peated online optimization with decision variables dk =
{{zl|k , αl|k , vl|k , {Λjl|k }j∈Nv1 }l∈NN , γ} and constraint set
0
D(xk , Θk ) = {dk | (15), (16)}.
Offline: Determine a robustly stabilizing control gain K
and terminal set XT according to Assumptions 2, 6.
Choose cost matrices Q, R and tT .
Online: For each time step k = 0, 1, 2, . . .
(i) Measure the state xk .
(ii) If k > 0 update the parameter set Θk according
to (11), (12).
(iii) Determine a minimizer of the linear program (9)
d∗k = arg min JN (xk , dk ) s.t. dk ∈ D(xk , Θk ).
dk
∗ (ii) There exists α1 , α2 , α3 ∈ K∞ , c1 , c2 ∈ R≥0 such that
(iv) Apply uk = Kxk + v0|k .
The following proposition establishes consistent parameter
set estimation, recursive feasibility of the Adaptive MPC
algorithm and satisfaction of the constraints (4) if the
system (1) is controlled with the MPC control law (10).
Consistent parameter set estimation means that the true
parameter is always contained in the estimated parameter
set if it is contained in the initially given parameter
set. Recursive feasibility guarantees that if there exists
a solution to the MPC problem for the given initial
conditions, a solution to the MPC problem exists for all
future states resulting from the application of the proposed
MPC control law to system (1).
Proposition 8. Suppose Assumptions 1,2,6 hold. If θ∗ ∈
Θk0 , D(xk0 , Θk0 ) = ∅, then for all k ≥ k0
(i) θ∗ ∈ Θk
(ii) D(xk , Θk ) = ∅
(iii) xk × uk ∈ Z.
Proof. We prove claim (i) and (ii) for k = k0 + 1, since
k0 is arbitrary the result follows by induction.
Assume θ∗ ∈ Θk0 and let uk0 = u(xk0 ) be the applied
MPC input. Then
we xk0 +1 = A(θ∗ )xk0 + B(θ∗ )uk0 + wk0
with wk0 ∈ W and hence by (11) θ∗ ∈ ∆k0 +1 which implies
θ∗ ∈ Θk0 ∩ ∆k0 +1 = Θk0 +1 as defined in (12).
At time k0 , let u∗N |k0 , {X∗l|k }l∈NN be a feasible in-
0
put and state tube trajectory satisfying the MPC con-
−1
straints (6), (7), (16). For time k0 + 1 and l ∈ NN 0
define the candidate input ũl|k0 +1 (x) = Kx + vl+1|k0 with
vN |k0 = 0 and candidate state tube X̃l|k0 +1 = X∗l+1|k0 .
Since X̃N −1|k0 +1 ⊆ XT and Θk0 ⊆ Θ, by Assump-
tion 6 there exists X̃N |k0 +1 ⊆ XT satisfying A(θ)x ⊕
B(θ)ũN −1|k0 +1 ⊕ W ⊆ XN |k0 +1 for all x ∈ XN −1|k0 +1 , θ ∈
Θk0 . By construction {ũl|k0 +1 , X̃l|k0 +1 }l∈NN −1 satisfy the
0
constraints (7) and since xk0 +1 = A(θ∗ )xk0 + B(θ∗ )uk0 +
wk0 ∈ X∗1|k0 = X̃0|k0 +1 constraints (6) are satisfied. By
Proposition 4 this is equivalent to feasibility of (15) and
hence D(xk0 +1 , Θk0 ) = ∅ which implies D(xk0 +1 , Θk0 +1 ) =
∅ as Θk0 +1 ⊆ Θk0 .
Claim (iii) is a direct corollary of D(xk , Θk ) = ∅ and
Proposition 4. 
As highlighted in Remark 7, in Robust MPC for linear
systems often a minimal robust positively invariant set
(mRPI set) is determined offline and stabilized by choosing
a cost which is positive definite with respect to this set.
In Min-max MPC it is well known that only practical
stability can be guaranteed and convergence to a level
set of the Lyapunov function can be proven which is
in general less tight than the actual mRPI set which is
stabilized (Raimondo et al. (2009)). The following analysis
establishes the stability properties of the closed loop
system.
Lemma 9. (i) The set XN = {x ∈ Rn | D(x, Θ) =
∅} is compact, robust positively invariant for the
system (1) with MPC control law (10) and 0 ∈
int(XN ).
for all x ∈ XN , w ∈ W, θ ∈ Θ and x+ = A(θ)x +
B(θ)u(x) + w it holds
α1 (x) ≤ VN (x) ≤ α2 (x) + c1
VN (x+ ) − VN (x) ≤ −α3 (x) + c2 .
The proof of Lemma 9 is given in the appendix.
The following technical assumption introduces a set Ω
which is robustly stabilized by the Adaptive MPC algo-
rithm. Compared with the simulation results, the bound
is quite conservative and future research is devoted to a
more detailed stability analysis.
Assumption 10. There exists ζ, ρ ∈ K∞ such that
Ω = {x | VN (x) ≤ α4−1 ◦ ρ−1 (ζ(c1 ) + c2 )} ⊆ int(XN ) (18)
with α4 = α3 ◦ ᾱ2 , α3 (s) = min{α3 (s/2), ζ(s/2)}, ᾱ2 =
α2 + Id.
Given Lemma 9 and Assumption 10, the following propo-
sition on the stability properties of the closed loop system
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is a direct application of Theorem 2 in Raimondo et al.

3
(2009). The origin is practically stable for the closed loop
system with the ultimate bound depending on the size of

[x]2
the disturbance set W.
Proposition 11. Suppose Assumptions 1,2,6,10 hold. Then 2
the origin is practically stable with region of attraction XN
and limk→∞ xk Ω = 0 for the closed-loop system (1) with
MPC control law (10).
1
Without additive disturbance the constants in Lemma 9
vanish, c1 = c2 = 0, leading to the following corollary.
Corollary 12. Suppose Assumptions 1,2,6,10 hold and 0
W = {0}. Then the origin is asymptotically stable with
region of attraction XN for the closed-loop system (1) with
0 0.5 1 1.5 2
MPC control law (10). [x]1
Fig. 1. Realized closed loop trajectory, predicted state tube trajec-
4. NUMERICAL EXAMPLE tory and constraint [xk ]1 ≥ −0.3.

In this section, two examples are presented to illustrate the

advantages of the proposed Adaptive MPC scheme. We 1 1 1
first demonstrate the online identification and constraint
satisfaction in a setup where stabilization of the origin is 0 0 0
considered and thereafter the adaptive scheme is compared −1 −1 −1
with a non-adaptive, Robust MPC in an ad-hoc tracking
implementation for constant reference signals. 1 1 1
0 1 1 1
−1 −1
0 0 0 0.5 0 0.5
Example 1 Consider the second-order discrete-time linear
system of the form (1) with
    1 1 1
0.5 0.2 0
A0 = , B0 = ,
−0.1 0.6 0.5 0 0 0
   
0.042 0 0.015 0.019
A1 = , A2 = , A3 = 02×2 , −1 −1 −1
0.072 0.03 0.009 0.035
  1 1
0.0397 1 1 0.5 1
{Bi }i=1,2 = 02×1 , B3 = 0 0.5 0 0.5 0 0.5
0.0539 −0.5
Θ = {θ | θ∞ ≤ 1} and W = {w ∈ R2 | w∞ ≤ 0.1}. Fig. 2. Evolution of the parameter set from time k = 0 to k = 5.
Note the different axis limits.
The MPC parameters were horizon length N = 9, cost
weights Q = diag(1, 1), R = 0.001, and prestabilizing Example 2 To highlight the increased performance of the
feedback gain K = [0.017 − 0.41]. Separate state and proposed Adaptive MPC scheme we compare it with a
input constraints [xk ]2 ≥ −0.3, |uk | ≤ 1 were applied to non-adaptive robust Tube MPC. Consider a simple mass
the system which should be satisfied robustly. spring damper system with dynamics described by
Starting from an initial condition x0 = [0, 10] , Figure 1 mẍ = −cẋ − kx + u + w
shows a typical closed loop trajectory, the predicted state
tube trajectory at time step k = 3 and the state constraint and nominal parameters mass m = 1, damping constant
[xk ]2 ≥ −0.3. Under the proposed Adaptive MPC scheme, c = 0.2, and spring constant k = 1. The parameter
the state constraint is robustly satisfied for all possible uncertainty was considered to be ±20%, |w(t)| ≤ 0.5, and
predicted states and the state converges to a neighborhood input u and state x constrained to [−5, 5] and [−0.1, 1.1]
of the origin. The input constraints were satisfied robustly respectively. To apply the MPC algorithm, a first-order
with the input saturated at uk = −1 in the first four steps. discretization with sampling time Ts = 0.1 was used. The
prediction horizon was set to N = 14 and cost weights
Q = diag(10, 0.001), R = 0.001.
Figure 2 shows the parameter set from time step k = 0
to k = 5. Given the realized state and input trajectory, Figure 3 shows the closed loop response under the pro-
falsified parameters are removed and the uncertainty set posed Adaptive MPC and robust Tube MPC algorithm.
is non-increasing. We remark that the parameter adaption After time steps k = 20, 40, 60 the desired set point was
depends on the initial condition and disturbance realiza- switched between 0 and 1. Due to the model uncertainty
tion since the cost does not reflect the advantage of future the desired steady state xss = 1 is only stabilized with an
parameter learning. offset which, due to the parameter adaption, is decreased
in the Adaptive MPC scheme but not in the Robust MPC.
The simulation was performed with Matlab and MOSEK. Similarly, while each transient between the steady states
The average optimization time without further tuning or is similar in the Robust MPC, the Adaptive MPC shows a
warm-start was 1.5s with a maximum of 1.8s on an Intel faster, improved convergence in each transient. The closed
Core i7 with 3.4GHz.
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Proceedings of the 20th IFAC World Congress
3318
Toulouse, France, July 9-14, 2017 Matthias Lorenzen et al. / IFAC PapersOnLine 50-1 (2017) 3313–3318
loop cost of the Robust MPC was 199 compared to 146 for
the Adaptive MPC, i.e. 47% higher.
x
1 wards dual MPC. IFAC-PapersOnLine, IFAC Conf.
0.5
0 Adaptive MPC
Robust MPC
0 10 20 30 40 50 60 70
time step k
Fig. 3. Comparison of closed loop trajectories with setpoint changing
between 0 and 1 after k = 20, 40, 60 for the proposed Adaptive
MPC and a non-adaptive Robust MPC.
5. CONCLUSIONS AND FURTHER WORK
The presented combination of parameter estimation and
constraint tightening provides a rigorous and computa-
tionally efficient basis for robust Adaptive MPC algo-
rithms based on state-space models.
In this work, practical stability of the origin was estab-
lished through combining the presented ansatz with a
terminal constraint and worst-case cost. Two examples
were presented to illustrate the advantages of the proposed
Adaptive MPC scheme compared to a non-adaptive Ro-
bust MPC.
The presented approach is only a first step towards com-
bining modern state-space MPC algorithms with a suit-
able parameter adaption. Based thereon, there are several
future research directions worth to be considered. Instead
of a worst-case cost which does not encourage learning, a
‘dual-cost’ which introduces learning based on the regula-
tion objective similar to the observations made in Feld-
baum (2001) would be of interest. Since a state-space
formulation is employed, recent results on output feedback
and offset-free tracking in MPC can be combined with the
presented approach to obtain a zero steady-state offset for
tracking constant reference signals. The presented results
hold only for constant uncertainties. Adapting the parame-
ter estimation to allow for slowly time varying parameters,
e.g. due to changing environment or wear in mechanical
devices, would be of interest to increase the applicability.
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Appendix A. TECHNICAL PROOFS
Proof. [Lemma 9] The set XN is the projection of the
polytopic set given by the intersection of (15), (16) and
hence closed. It is compact since it is contained in the
bounded set Projx (Z) and robust positively invariant by
Proposition 8.
The MPC value function VN (x) ≥ (x, u(x)) ≥ Qx∞ ≥
Q∞
√
n
x = α1 (x) for all x ∈ XN . For the upper bound
let x ∈ XT and V0 (x) = V (x) = tT ΨT (x) ≤ α̃2 (x) with
ΨT being the Minkowski function for the terminal set XT
and α̃2 ∈ K∞ . Let X = z + αX0 ⊆ γXT with γ ∈ (0, 1] and
X+ according to Assumption 6. Note that it exists d ∈ R
s.t.
V (X+ ) − V (X) + (X, κ(x))
≤ (λγ + d)tT − γtT + γ t̄r (A.1)
= γ(t̄r − (1 − λ)tT ) + dtT ≤ dtT
and hence for N ≥ 1
VN (x) ≤ VN −1 (x) + dtT ≤ V0 (x) + N dtT
≤ α̃2 (x) + c1 .
The optimal value function, being the solution of a para-
metric LP is continuous (Rawlings and Mayne, 2009, The-
orem C.34) and hence α̃2 can be extended to α2 on XN .
Using the candidate solution introduced in the proof of
Proposition 8 and equation (A.1) one obtains
VN (x+ ) − VN (x) ≤ dtT − Qx∞ ≤ −α3 (x) + c2
which concludes the proof. 
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