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arXiv 2103.08451eess.SYcs.SY
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基于数据扰动情景树逼近的预测最优控制

Predictive Optimal Control with Data-Based Disturbance Scenario Tree Approximation

Ran Jing, Xiangrui Zeng

摘要:

如何有效地计算具有随机干扰的复杂未来的最优控制策略一直是一个挑战。预测的随机未来干扰可以用情景树表示,但用情景树求解最优控制问题通常需要大量的计算。在本文中,我们提出了一种基于数据的聚类近似方法的情景树表示。该方法与传统的马尔可夫链近似方法不同,在保持状态空间较小的同时,能够保留前几步的信息。然后,预测最优控制问题可以近似解决,减少计算量,使用动态规划。通过数值算例对所提出的方法进行了评估,并与将扰动视为非平稳马尔可夫链的方法进行了比较。结果表明,该方法可以获得比马尔可夫链方法更好的控制性能。

英文摘要:

Efficiently computing the optimal control policy concerning a complicated future with stochastic disturbance has always been a challenge. The predicted stochastic future disturbance can be represented by a scenario tree, but solving the optimal control problem with a scenario tree is usually computationally demanding. In this paper, we propose a data-based clustering approximation method for the scenario tree representation. Differently from the popular Markov chain approximation, the proposed method can retain information from previous steps while keeping the state space size small. Then the predictive optimal control problem can be approximately solved with reduced computational load using dynamic programming. The proposed method is evaluated in numerical examples and compared with the method which considers the disturbance as a non-stationary Markov chain. The results show that the proposed method can achieve better control performance than the Markov chain method.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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