Improving Performance in Robust Economic MPC Using Stochastic Information

Abstract

In this paper, we develop a new tube-based robust economic MPC scheme for linear systems subject to bounded disturbances with given distributions. By using the error distribution in the predictions of the finite horizon optimal control problem, we can incorporate stochastic information in order to improve the expected performance while being able to guarantee strict feasibility. For this new framework, we can provide bounds on the asymptotic average performance of the closed-loop system. Moreover, a constructive approach is sketched in order to find an appropriate quadratic terminal cost accepting a slight degradation of the average performance statement.