Iterative Risk Allocation: A new approach to robust Model Predictive Control with a joint chance constraint

@article{Ono2008IterativeRA,
  title={Iterative Risk Allocation: A new approach to robust Model Predictive Control with a joint chance constraint},
  author={Masahiro Ono and Brian Charles Williams},
  journal={2008 47th IEEE Conference on Decision and Control},
  year={2008},
  pages={3427-3432}
}
This paper proposes a novel two-stage optimization method for robust model predictive control (RMPC) with Gaussian disturbance and state estimation error. Since the disturbance is unbounded, it is impossible to achieve zero probability of violating constraints. Our goal is to optimize the expected value of an objective function while limiting the probability of violating any constraints over the planning horizon (joint chance constraint). Prior arts include ellipsoidal relaxation approach [1… CONTINUE READING

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