Stochastic Model Predictive Control for Linear Systems Using Probabilistic Reachable Sets

In this paper, we propose a stochastic model predictive control (MPC) algorithm for linear discrete-time systems affected by possibly unbounded additive disturbances and subject to probabilistic constraints. Constraints are treated in analogy to robust MPC using a constraint tightening based on the concept of probabilistic reachable sets, which is shown to provide closed-loop fulfillment of chance constraints under a unimodality assumption on the disturbance distribution. A control scheme reverting to a backup solution from a previous time step in case of infeasibility is proposed, for which an asymptotic average performance bound is derived. Two examples illustrate the approach, highlighting closed-loop chance constraint satisfaction and the benefits of the proposed controller in the presence of unmodeled disturbances.