Abstract
We present a stochastic model predictive control (MPC) method for linear discrete-time systems subject to possibly unbounded and correlated additive stochastic disturbance sequences. Chance constraints are treated in analogy to robust MPC using the concept of probabilistic reachable sets for constraint tightening. We introduce an initialization of each MPC iteration which is always recursively feasible and guarantees chance constraint satisfaction for the closed-loop system, which is typically challenging for systems under unbounded disturbances. Under an i.i.d. zero-mean assumption, we provide an average asymptotic performance bound. A building control example illustrates the approach in an application with time-varying, correlated disturbances.
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