Automatic Scenario Generation for Robust Optimal Control Problems

Conference paper


Zagorowska, M., Falugi, P., O'Dwyer, E. and Kerrigan, E. C. 2023. Automatic Scenario Generation for Robust Optimal Control Problems. IFAC World Congress 2023. Yokohama, Japan 09 - 14 Jul 2023 Elsevier for the International Federation of Automatic Control.
AuthorsZagorowska, M., Falugi, P., O'Dwyer, E. and Kerrigan, E. C.
TypeConference paper
Abstract

Existing methods for nonlinear robust control often use
scenario-based approaches to formulate the control problem as nonlinear optimization problems. Increasing the number of scenarios improves robustness while increasing the size of the optimization problems. Mitigating the size of the problem by reducing the number of scenarios requires knowledge about how the uncertainty affects the system. This paper draws from local reduction methods used in semi-infinite optimization to solve robust optimal control problems with parametric uncertainty. We show that nonlinear robust optimal control problems are equivalent to semi-infinite optimization problems and can be solved by local reduction. By iteratively adding interim globally worst-case scenarios to the problem, methods based on local reduction provide a way to manage the total number of scenarios. In particular, we show that local reduction methods find worst-case scenarios that are not on the boundary of the uncertainty set. The proposed approach is illustrated with a case study with both parametric and additive time-varying uncertainty. The number of scenarios obtained from local reduction is 101, smaller than in the case when all 2 14+3×192 boundary scenarios are considered. A validation with randomly-drawn scenarios shows that our proposed approach reduces the number of scenarios and ensures robustness even if local solvers are used.

Year2023
ConferenceIFAC World Congress 2023
PublisherElsevier for the International Federation of Automatic Control
Accepted author manuscript
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File Access Level
Anyone
Publication process dates
Accepted03 Mar 2023
Deposited04 Jul 2023
JournalIFAC-PapersOnLine
Journal citationIn Press
ISSN2405-8971
FunderEngineering and Physical Sciences Research Council (EPSRC)
European Research Council
Copyright holder© 2023, The Author(s)
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IFAC_Local_reduction.pdf
License: CC BY-NC-ND 4.0
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