Performance Guaranteed MPC Policy Approximation via Cost Guided Learning

Model predictive control (MPC) is widely used in industries but implementing it poses challenges due to hardware or time constraints. A promising solution is to approximate the MPC policy using function approximators like neural networks. Existing methods focus on minimizing the error between the approximators outputs and the MPC optimal control actions on training data, which is called error guided learning approach in this letter. However, the goals of control law design is not to minimize the fitting error but to minimize the operation cost. This letter proposes a novel cost-guided learning approach that utilizes the cost sensitivity information from the MPC problem to directly minimize the loss in closed-loop performance. A theoretical analysis shows cost-guided learning provides tighter guarantees on optimality loss compared to traditional error-guided learning. Experiments on a continuous stirred tank reactor (CSTR) benchmark demonstrate that the proposed technique results in approximate MPC policies that achieve substantially better closed-loop performance. This letter makes an important contribution by connecting the fitting errors with operational objectives, overcoming key limitations of existing approximation methods. The core idea could be applied more broadly for data-driven control.