Model Predictive Control with and without Terminal Weight: Stability and Algorithms

Wen-Hua Chen

This paper presents stability analysis tools for model predictive control (MPC) with and without terminal weight. Stability analysis of MPC with a limited horizon but without terminal weight is a long-standing open problem. By using a modified value function as an Lyapunov function candidate and the principle of optimality, this paper establishes stability conditions for this type of widely spread MPC algorithms. A new stability guaranteed MPC algorithm without terminal weight (MPCS) is presented, which has a promising property that its feasibility implies stability. With the help of designing a new level set defined by the value function of one step ahead stage cost, conditions for checking its recursive feasibility and stability of the proposed MPC algorithm are presented. The new stability condition and the derived MPCS overcome the difficulties arising in the existing terminal weight based MPC framework, including the need of searching a suitable terminal weight, possible poor performance caused by an inappropriate terminal weight and not being horizon dependent. This work is further extended to MPC with a terminal weight for the completeness. It is shown that the proposed stability condition is much less conservative than the existing ones that form the foundation of the current `standard' MPC framework in the sense that this condition is met as long as the current stability conditions are met. Numerical examples are presented to demonstrate the effectiveness of the proposed tool, whereas the existing stability analysis tools are either not applicable or lead to quite conservative results. It shows that the proposed tools offer a number of mechanisms to achieve stability: adjusting state and/or control weights, extending the length of horizon, and adding a simple extra constraint on the first or second state in the optimisation.

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