Adaptive Data-Driven Min-Max MPC for Linear Time-Varying Systems

Abstract

In this paper, we propose an adaptive data-driven min-max model predictive control (MPC) scheme for discrete-time linear time-varying (LTV) systems. We assume that prior knowledge of the system dynamics and bounds on the variations are known, and that the states are measured online. Starting from an initial state-feedback gain derived from prior knowledge, the algorithm updates the state-feedback gain using online input-state data. To this end, a semidefinite program (SDP) is solved to minimize an upper bound on the infinite-horizon optimal cost and to derive a corresponding state-feedback gain. We prove that the resulting closed-loop system is exponentially stabilized and satisfies the constraints. Further, we extend the proposed scheme to LTV systems with process noise. The resulting closed-loop system is shown to be robustly stabilized to a robust positive invariant (RPI) set. Finally, the proposed methods are demonstrated by numerical simulations.