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James B. Rawlings
Department of Chemical and Biological Engineering
University of WisconsinMadison
Insitut f
ur Systemtheorie und Regelungstechnik
Universitat Stuttgart
Stuttgart, Germany
June 24, 2011
Distributed MPC
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Outline
1
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min VN (x, u)
uUN
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(1)
u(k) U
for all k I0
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Feasible sets
The set of feasible initial states and associated control sequences
ZN = {(x, u) | u(k) U, (k; x, u) X for all k I0:N1 ,
and (N; x, u) Xf }
and Xf X is the feasible terminal set.
The set of feasible initial states is
XN = {x Rn | u UN such that (x, u) ZN }
(2)
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N1
X
k=0
min VN (x, u)
uUN
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Suboptimal MPC
(3)
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Suboptimal MPC
UN (x + ).
The warm start satisfies u
The suboptimal input sequence for any given x + XN is defined as
any u+ UN that satisfies:
u+ UN (x + )
(4a)
)
VN (x + , u+ ) VN (x + , u
VN (x + , u+ ) Vf (x + )
(4b)
when x + r B
(4c)
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Suboptimal MPC
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(5)
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(6)
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The set U is compact and contains the origin. The sets X and Xf are
closed and contain the origin in their interiors, Xf X.
The set U is compact and contains the origin. The sets X = Rn and
Xf = lev Vf = {x Rn | Vf (x) }, with > 0.
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Assumption 4
There exist positive constants a, a10 , a20 , af and r , such that the cost
function satisfies the inequalities
`(x, u) a10 |(x, u)|a
VN (x, u) a20 |(x, u)|a
Vf (x) af |x|a
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for all k I0
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z + H(z)
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Theorem 7 (ES)
Under Assumptions 1, 2.1, 3, and 4, the origin of the closed-loop system
x + F (x) = {f (x, u) | u N (x)}
is ES on (arbitrarily large) compact subsets of XN .
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k0
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(8)
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Definition 9 (SRES)
The origin of the closed-loop system (6) is strongly robustly exponentially
stable (SRES) on a compact set C XN , 0 int(C), if there exist scalars
b > 0 and 0 < < 1 such that the following property holds: Given any
> 0, there exists > 0 such that for all sequences {d(k)} and {e(k)}
satisfying
|d(k)| and |e(k)| for all k I0 ,
and all x C, we have that
xm (k) = x(k) + e(k) XN , x(k) XN , for all k I0 ,
(9a)
(9b)
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Feasibility issue
is feasible for the predicted successor state
The warm start u
x+ = f (xm , u(0; xm ))
) ZN ,
i.e., (
x +, u
But it may not be feasible for the measured successor state
+
xm
= f (x, u(0; xm )) + d + e +
Assumption 10
For any x, x 0 XN and u UN (x), there exists u0 UN (x 0 ) such that
|u u0 | (|x x 0 |) for some K-function ().
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Feasibility issue
Proposition 11
+ X , the set of
) ZN and xm
Under Assumption 10, for any (
x +, u
N
solutions to (10) is nonempty.
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Main results
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(10)
Main results
u
S
S
ZN
UN
u0(x)
XN
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N1
X
k=0
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u+ UN
(11a)
)
VN (x + , u+ ) VN (x + , u
(11b)
VN (x + , u+ ) Vf (x + )
when x + r B
(11c)
,
Zr = {(x, u) Rn UN | VN (x, u) V
and VN (x, u) Vf (x) if x r B}
X0 = {x Rn |u UN such that (x, u) Zr }
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(12)
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+ +
+
),
Ged (z) = {u+ | u+ UN , VN (xm
, u ) VN (xm
,u
+ +
+
+
VN (xm
, u ) Vf (xm
) if xm
r B}
s.t. z = zm (e, 0)
(13a)
(zm ) V
}
S = {zm Zr | V
N
(13b)
C = {x Rn | x = xm e, e B, u s.t. (xm , u) S }
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(14)
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The ideal, but unachievable, result would be that the robust region of
attraction under nonzero disturbances is the entire nominal feasible
set, XN .
This ideal result is approached reasonably closely, however, when
excluding state constraints!
When |d|, |e| 0, C X0 and SRES holds over a set approaching
the admissible set of initial conditions.
These results for robustness of suboptimal nonlinear MPC all apply to
cooperative, distributed MPC.
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s.t.
uU
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Algorithm
i I1:M
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Algorithm
Check the following inequality, which tests if V (u p ) is convex-like
X
p
V (u p+1 )
wi V (uip + ip ip , ui
)
(15)
iI1:M
in which
iI1:M
If the condition above is not satisfied, then we find the direction with
the worst cost improvement
p
imax = arg max{V (uip + ip ip , ui
)}
i
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Lemma 15 (Feasibility)
Given a feasible initial condition, the iterates u p are feasible for all p 0.
Lemma 17 (Convergence)
Every accumulation point of the sequence {u p } is stationary.
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u2
0
0
2
u1
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x2+ = f2 (x1 , x2 , u1 , u2 )
(16)
u
u= 1
u2
f1 (x1 , x2 , u1 , u2 )
f (x, u) =
f2 (x1 , x2 , u1 , u2 )
u2 (k) U2
k I0:N1
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Vi x(0), u1 , u2 =
N1
X
`i xi (k), ui (k) + Vif x(N)
k=0
Assumption 18
For each i I1:2 , there exists a K function i () such that
`i (xi , ui ) i (|xi |)
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(xi , ui ) Rni Ui
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(17)
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Assumption 19
The plantwide terminal penalty Vf () satisfies
f (|x|) Vf (x) f (|x|) x Xf
in which f () and f () are K functions.
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Assumption 20
The terminal cost Vf () satisfies
n
min
Vf f (x, u1 , u2 ) + `(x, u)
(u1 ,u2 )U1 U2
o
s.t. f (x, u1 , u2 ) Xf Vf (x)
x Xf
This assumption implies that there exists a if (x) Ui for all i I1:2
such that
Vf f (x, 1f (x), 2f (x)) + ` x, 1f (x), 2f (x) Vf (x)
(18)
s.t. f (x, 1f (x), 2f (x)) Xf
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V (x, u) =
N1
X
(19)
k=0
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(20)
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s.t.
x1+ = f1 (x1 , x2 , u1 , u2 )
(21b)
x2+ = f2 (x1 , x2 , u1 , u2 )
(21c)
ui UN
i
i I1:2
(21a)
if x(0) Br
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(21d)
i I1:2
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(21e)
1),
x(N)
}
1
1
1
1f
1
+
u
2 = {u2 (1), u2 (2), . . . , u2 (N 1), 2f x(N) }
in which x(N) = (N; x(0), u1 , u2 ).
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A nonlinear example
Consider the unstable nonlinear system
x1+ = x12 + x2 + u13 + u2
x2+ = x1 + x22 + u1 + u23
with initial condition (x1 , x2 ) = (3, 3).
For this example, we use the stage cost
1
`1 (x1 , u1 ) = (x10 Q1 x1 + u10 R1 u1 )
2
1
`2 (x2 , u2 ) = (x20 Q2 x2 + u20 R2 u2 )
2
For the simulation we choose the parameters
Q=I
R=I
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4
4
x1
x1
x2
x2
2
1
1
x
x
0
-1
-1
-2
-2
-3
-3
-4
0
-4
0
10
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10
3
3
2
2
u2
u2
u
u
u1
u1
0
-1
-1
-2
-2
-3
0
-3
0
10
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p = 3
p = 10
10
100
V (x(k), u(k))
102
104
106
108
1010
10
k
Figure: Open-loop cost to go versus time on the closed-loop trajectory for
different numbers of iterations.
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10
-2
-1
u1
Figure: Contours of V with N = 1 for k = 0 with (x1 (0), x2 (0)) = (3, 3).
Iterations of the subsystem controllers with initial condition (u10 , u20 ) = (0, 0).
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x2
-0.5
-1
-1
-0.5
0
x1
0.5
Figure: Terminal region. Xt are the points in which the terminal controller is
stabilizing and Xf = {x | Vf (x) 0.485} Xt is the terminal region.
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Further Reading I
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Acknowledgments
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