H0K03a : Advanced Process Control

Model-based Predictive Control 4 : Robustness

Bert Pluymers
Prof. Bart De Moor
Katholieke Universiteit Leuven, Belgium
Faculty of Engineering Sciences
Department of Electrical Engineering (ESAT)
Research Group SCD-SISTA

[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness

• Example
Overview
• Robustness
• Robust MPC
• Conclusion

Lecture 4 : Robustness

• Example
• Robustness
• Robust MPC
• Conclusion

Signal processing
Identification

System Theory
Automation 1
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Example
• Robustness
• Robust MPC
• Conclusion
Linear state-space system of the form

with bounded parametric uncertainty

Aim : steer this system towards the origin from initial state
without violating the constraint

Signal processing
Identification

System Theory
Automation 2
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Example
• Robustness
• Robust MPC
• Conclusion Results for 4 different parameter settings :

Signal processing
Identification
• Recursive feasibility ?
System Theory
• Monotonicity of the cost ?
Automation 3
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Robustness
• Robustness
• Robust MPC
• Conclusion
Robust with respect to what ?

• Disturbances

Cause predictions of
‘nominal’ MPC to be inaccurate

• Model uncertainty

Signal processing
Identification

System Theory
Automation 4
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Robustness
• Robustness
• Robust MPC
• Conclusion

Main aims :
• Keep recursive feasibility properties, despite model errors,
disturbances
• Keep asymptotic stability (in the case without disturbances)

We need to have an idea about …

• the size of the model uncertainty
• the size of the disturbances

Signal processing
Identification

System Theory
Automation 5
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Uncertain Models
• Robustness
• Robust MPC
• Conclusion

Linear Parameter-Varying state space models with

polytopic uncertainty description

Signal processing
Identification

System Theory
Automation 6
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Uncertain Models
• Robustness
• Robust MPC
Linear Parameter-Varying state space models with
• Conclusion
norm-bounded uncertainty description

Signal processing
Identification

System Theory
Automation 7
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Bounded Disturbances
• Robustness
• Robust MPC
• Conclusion • Typically bounded by a polytope :
• Can be described in two ways
•
•

• Trivial condition for well-posedness :

Signal processing
Identification

System Theory
Automation 8
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Robust MPC
• Robustness
• Robust MPC
• Conclusion

Main aims :
• Keep recursive feasibility properties, despite model errors,
disturbances
• Keep asymptotic stability (in the case without disturbances)

Necessary modifications :
•Uncertain predictions (e.g predictions with all models within
uncertainty region)
• worst-case constraint satisfaction over all predictions
• worst-case cost over all predictions

•Terminal cost has to satisfy multiple Lyap. Ineq.

Signal processing
Identification
•Terminal constraint has to be a robust invariant set

System Theory
Automation 9
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Robust MPC
• Robustness
• Robust MPC
• Conclusion
Uncertain predictions :

model uncertainty
disturbances

Signal processing N
Identification

System Theory
Automation 10
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Uncertain Predictions
• Robustness
• Robust MPC
• Conclusion
Step 1) Robust Constraint Satisfaction

Observations :

• depends linearly on

• is a convex polytopic set

• is a convex set

Result : Sufficient to impose constraint only for vert. of :

Signal processing
Identification

System Theory
Automation 11
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Uncertain Predictions
• Robustness
• Robust MPC LTI LPV
• Conclusion
(L=1) (L>1, e.g. 2)

Signal processing
Identification

System Theory
Automation 12
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Uncertain Predictions
• Robustness
• Robust MPC
• Conclusion

Impose state constraints on all nodes

of state prediction tree

Signal processing
Identification
→ number of constraints increases expon. with incr. !!!
System Theory
Automation 13
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Worst-Case Cost Objective
• Robustness
• Robust MPC
• Conclusion
Step 2) Worst-Case cost minimization

Observations :
• depends linearly on

• is a convex polytopic set

• cost function typically convex function of

Signal processing
→ Also for objective function sufficient to make
Identification
predictions only with vertices of uncertainty polytope
System Theory
Automation 14
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Worst-Case Cost Objective
• Robustness
• Robust MPC
• Conclusion

states
inputs

Signal processing
Identification

System Theory
Automation 15
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Worst-Case Cost Objective
• Robustness
(1-norm)
• Robust MPC
• Conclusion

LP

Signal processing
Identification

System Theory
Automation 16
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Worst-Case Cost Objective
• Robustness
(2-norm)
• Robust MPC
• Conclusion

CVX ?

Signal processing
Identification

System Theory
Automation 17
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Worst-Case Cost Objective
• Robustness
(2-norm)
• Robust MPC
• Conclusion

Constraints of the form :

CVX ?

SOC
Signal processing
Identification

System Theory
Automation 18
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Worst-Case Cost Objective
• Robustness
(2-norm)
• Robust MPC
• Conclusion

SOCP

Signal processing
Identification

System Theory
Automation 19
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Robust MPC
• Robustness
(2-norm)
• Robust MPC
• Conclusion By rewriting we now get

SOCP

Signal processing
Identification
Terminal constraint
System Theory
Automation
Terminal cost 20
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example Robust Terminal Cost
• Robustness
• Robust MPC
• Conclusion
“non-robust” stability condition for terminal cost:

In case of…
• LPV system with polytopic uncertainty
• linear feedback controller
• quadratic cost criterion
• quadratic terminal cost

… this becomes :

Signal processing or equivalent :

Identification

System Theory
Automation 21
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example Robust Terminal Cost
• Robustness
• Robust MPC
• Conclusion
Robust stability condition for terminal cost:

Observations :

• inequality is convex and linear in and (i.e. LMI in )

• is a convex polytopic set

Hence, inequality satisfied iff

Signal processing
Identification

System Theory
Automation 22
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example Robust Terminal Cost : Design
• Robustness
• Robust MPC
• Conclusion
1. Find a robustly stabilizing controller

2. Find a terminal cost satisfying

by solving the following optimization problem :

Minimization of
eigenvalues of SDP
Signal processing
Identification
optimization variables

System Theory
Automation 23
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example Robust Terminal Constraint
• Robustness
• Robust MPC
• Conclusion

Reminder : nominal case

Recursive feasibility is guaranteed if

remain unchanged
Terminal constraint is
1) feasible w.r.t state constraints

Terminal constraint is
2) feasible w.r.t input constraints

Terminal constraint is
3) a positive invariant set w.r.t

Has to be modified in order to

Robust positive invariance
Model uncertainty into account
Signal processing
Identification

System Theory
Automation 24
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example Robust Terminal Constraint
• Robustness
• Robust MPC
• Conclusion
Consider linear terminal controller ,

then the resulting closed loop system is :

Robust positive invariance :

Again : sufficient to satisfy inclusion

Signal processing
Identification

System Theory
Automation 25
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example Robust Terminal Constraint
• Robustness
• Robust MPC
• Conclusion

Reminder : invariant sets for LTI systems

Given an LTI system subject to linear constraints

then the largest size feasible invariant set can be found as

with a finite integer.

Signal processing
Comes down to making forward predictions using
Identification

System Theory
Automation 26
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example Robust Terminal Constraint
• Robustness
• Robust MPC
• Conclusion
LTI LPV
(L=1,n=2) (L>1, e.g. 2, n=2)

Signal processing
Identification

System Theory
Automation 27
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Ellipsoidal invariant sets for LPV systems
• Robustness
(Kothare et al.,1996, Automatica)
• Robust MPC
• Conclusion

1
X
0.8 S
0.6

0.4

0.2

-0.2

-0.4

-0.6

-0.8

-1

-0.8 -0.6 -0.4 -0.2 0 0.2 0.4 0.6 0.8

• Constructed by solving semi-definite program (SDP)

• Conservative with respect to constraints
Signal processing
Identification

System Theory
Automation 28
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Polyhedral invariant sets for LPV systems
• Robustness
• Robust MPC
• Conclusion
Reformulate invariance condition :

A set is invariant with respect to a system defined

by iff

with

Sufficient condition :

Signal processing
Identification

Also necessary condition

System Theory
Automation 29
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Polyhedral invariant sets for LPV systems
• Robustness
• Robust MPC
• Conclusion Algorithm :

• Initialize
• iteratively add constraints from to until

Advantages :

• in step 2 only ‘significant’ constraints are added to :

Signal processing
Identification
significant insignificant
System Theory
Automation 30
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Polyhedral invariant sets for LPV systems
• Robustness
• Robust MPC
• Conclusion Algorithm :

• Initialize
• iteratively add constraints from to until

Advantages :

• prediction tree never explicitly constructed

• given a polyhedral set , it is straightforward

to calculate :

Signal processing
Identification

System Theory
Automation 31
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Polyhedral invariant sets for LPV systems
• Robustness
• Robust MPC
• Conclusion Example
Initialization

Signal processing
Identification

System Theory
Automation 32
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Polyhedral invariant sets for LPV systems
• Robustness
• Robust MPC
• Conclusion Example
Iteration 10

Signal processing
Identification

System Theory
Automation 33
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Polyhedral invariant sets for LPV systems
• Robustness
• Robust MPC
• Conclusion Example
Iteration 10 + garbage collection

Signal processing
Identification

System Theory
Automation 34
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Polyhedral invariant sets for LPV systems
• Robustness
• Robust MPC
• Conclusion Example
Iteration 20

Signal processing
Identification

System Theory
Automation 35
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Polyhedral invariant sets for LPV systems
• Robustness
• Robust MPC
• Conclusion Example
Final Result

Signal processing
Identification

System Theory
Automation 36
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Polyhedral invariant sets for LPV systems
• Robustness
• Robust MPC
• Conclusion Example
Final Result

Signal processing
Identification

System Theory
Automation 37
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Polyhedral invariant sets for LPV systems
• Robustness
• Robust MPC
• Conclusion Example

Signal processing
Identification

System Theory
Automation 38
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Recursive feasibility, stability guarantee ?
• Robustness
• Robust MPC
• Conclusion
Open loop Closed loop
optimal input sequence optimal input sequence

Signal processing
Identification

System Theory
NO recursive feasibility !!! Recursive feasibility
Automation 39
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Example revisited…
• Robustness
• Robust MPC
• Conclusion Results for 4 different parameter settings :

Signal processing
Identification
• Recursive feasibility ?
System Theory
• Monotonicity of the cost ?
Automation 40
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Example revisited…
• Robustness
• Robust MPC
• Conclusion

Signal processing
Identification

System Theory
Automation 41
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness
• Example
Conclusion
• Robustness
• Robust MPC
• Conclusion

• Robustness w.r.t a) bounded model uncertainty

b) bounded disturbances
• necessary modifications :
• worst-case constraints satisfaction
• worst-case objective function
• terminal cost
• terminal constraint
• “open-loop” vs. “closed-loop” predictions

→ currently hot research topic !

• convex optimization but problem size impractical

Signal processing
→ currently hot research topic !
Identification

System Theory
Automation 42
[email protected] H0k03a : Advanced Process Control – Model-based Predictive Control 4 : Robustness