In this paper, two types of linear estimators are considered for three related estimation problems involving set-theoretic uncertainty pertaining to $\mathcal{H}_{2}$ and $\mathcal{H}_{\infty}$ balls of frequency-responses. The problems at stake correspond to robust $\mathcal{H}_{2}$ and $\mathcal{H}_{\infty}$ in the face of non-parametric "channel-model" uncertainty and to a nominal $\mathcal{H}_{\infty}$ estimation problem. The estimators considered here are defined by minimizing the worst-case squared estimation error over the "uncertainty set" and by minimizing an average cost under the constraint that the worst-case error of any admissible estimator does not exceed a prescribed value. The main point is to explore the derivation of estimators which may be viewed as less conservative alternatives to minimax estimators, or in other words, that allow for trade-offs between worst-case performance and better performance over "large" subsets of the uncertainty set. The "average costs" over $\mathcal{H}_{2}-$signal balls are obtained as limits of averages over sets of finite impulse responses, as their length grows unbounded. The estimator design problems for the two types of estimators and the three problems addressed here are recast as semi-definite programming problems (SDPs, for short). These SDPs are solved in the case of simple examples to illustrate the potential of the "average cost/worst-case constraint" estimators to mitigate the inherent conservatism of the minimax estimators.
We introduce the notion of Worst-Case Sensitivity, defined as the worst-case rate of increase in the expected cost of a Distributionally Robust Optimization (DRO) model when the size of the uncertainty set vanishes. We show that worst-case sensitivity is a Generalized Measure of Deviation and that a large class of DRO models are essentially mean-(worst-case) sensitivity problems when uncertainty sets are small, unifying recent results on the relationship between DRO and regularized empirical optimization with worst-case sensitivity playing the role of the regularizer. More generally, DRO solut…
A robust adaptive model predictive control (MPC) algorithm is presented for linear, time invariant systems with unknown dynamics and subject to bounded measurement noise. The system is characterized by an impulse response model, which is assumed to lie within a bounded set called the feasible system set. Online set-membership identification is used to reduce uncertainty in the impulse response. In the MPC scheme, robust constraints are enforced to ensure constraint satisfaction for all the models in the feasible set. The performance objective is formulated as a worst-case cost with respect to …
We present a novel technique for solving the problem of safe control for a general class of nonlinear, control-affine systems subject to parametric model uncertainty. Invoking Lyapunov analysis and the notion of fixed-time stability (FxTS), we introduce a parameter adaptation law which guarantees convergence of the estimates of unknown parameters in the system dynamics to their true values within a fixed-time independent of the initial parameter estimation error. We then synthesize the adaptation law with a robust, adaptive control barrier function (RaCBF) based quadratic program to compute sa…
Max Planck Institute for Intelligent Systems（马克斯·普朗克智能系统研究所）
Random features is a powerful universal function approximator that inherits the theoretical rigor of kernel methods and can scale up to modern learning tasks. This paper views uncertain system models as unknown or uncertain smooth functions in universal reproducing kernel Hilbert spaces. By directly approximating the one-step dynamics function using random features with uncertain parameters, which are equivalent to a shallow Bayesian neural network, we then view the whole dynamical system as a multi-layer neural network. Exploiting the structure of Hamiltonian dynamics, we show that finding wo…
A robust controller is specified, and the stability bounds of the uncertain closed-loop system are determined using the small gain, circle, positive real, and Popov criteria. A graphical approach is employed in order to demonstrate the ease with which the above robustness tests can be carried out on a problem of practical interest. A significant improvement in stability bounds is observed as the analysis moves from the small gain test to the circle, positive real, and Popov tests. In particular, small gain analysis results in the most conservative robust stability bounds, while Popov analysis …
The performance of model-based control techniques strongly depends on the quality of the employed dynamics model. If strong guarantees are desired, it is therefore common to robustly treat all possible sources of uncertainty, such as model inaccuracies or external disturbances. This, however, can result in overly conservative control strategies. In this paper, we present a stochastic model predictive control approach for discrete-time LTI systems subject to bounded parametric uncertainty and potentially unbounded stochastic additive noise. The proposed scheme makes use of homothetic tubes alon…
Designing controllers for systems affected by model uncertainty can prove to be a challenge, especially when seeking the optimal compromise between the conflicting goals of identification and control. This trade-off is explicitly taken into account in the dual control problem, for which the exact solution is provided by stochastic dynamic programming. Due to its computational intractability, we propose a sampling-based approximation for systems affected by both parametric and structural model uncertainty. The approach proposed in this paper separates the prediction horizon in a dual and an exp…
We propose a novel approach to design a robust Model Predictive Controller (MPC) for constrained uncertain linear systems. The uncertain system is modeled as linear parameter varying with additive disturbance. Set bounds for the system matrices and the additive uncertainty are assumed to be known. We formulate a novel optimization-based constraint tightening strategy around a predicted nominal trajectory which utilizes these bounds. With an appropriately designed terminal cost function and constraint set, we prove robust satisfaction of the imposed constraints by the resulting MPC in closed-lo…
Robust Parametric Microgrid Dispatch Under Endogenous Uncertainty of Operation- and Temperature-Dependent Battery Degradation
State Key Laboratory of Environmental Adaptability for Industrial Products, China National Electric Apparatus Research Institute Co., Ltd.（工业产品环境适应性国家重点实验室，中国电器科学研究院有限公司）；Department of Mechanical and Automation Engineering, The Chinese University of Hong Kong（香港中文大学机械与自动化工程学系）
We propose a simple and computationally efficient approach for designing a robust Model Predictive Controller (MPC) for constrained uncertain linear systems. The uncertainty is modeled as an additive disturbance and an additive error on the system dynamics matrices. Set based bounds for each component of the model uncertainty are assumed to be known. We separate the constraint tightening strategy into two parts, depending on the length of the MPC horizon. For a horizon length of one, the robust MPC problem is solved exactly, whereas for other horizon lengths, the model uncertainty is over-appr…
This paper presents an approach to compute the worst-case gain of the interconnection of a finite time horizon linear time-variant system and a perturbation. The input/output behavior of the uncertainty is described by integral quadratic constraints (IQCs). A condition for the worst-case gain of such an interconnection can be formulated using dissipation theory as a parameterized Riccati differential equation, which depends on the chosen IQC multiplier. A nonlinear optimization problem is formulated to minimize the upper bound of the worst-case gain over a set of admissible IQC multipliers. Th…
Reinforcement learning (RL) algorithms have been successfully used to develop control policies for dynamical systems. For many such systems, these policies are trained in a simulated environment. Due to discrepancies between the simulated model and the true system dynamics, RL trained policies often fail to generalize and adapt appropriately when deployed in the real-world environment. Current research in bridging this sim-to-real gap has largely focused on improvements in simulation design and on the development of improved and specialized RL algorithms for robust control policy generation. I…
