A chance-constrained stochastic model predictive control problem with disturbance feedback

In this paper, we develop two algorithms for stochastic model predictive control (SMPC) problems with discrete linear systems. Participially, chance constraints on the state and control are considered. Different from the state-of-the-art robust model predictive control (RMPC) algorithm, the proposed is less conservative. Meanwhile, the proposed algorithms do not assume the full knowledge of the disturbance distribution. It only requires the mean and variance of the disturbance. Rigorous computational analysis is carried out for the proposed algorithms. Numerical results are provided to demonstrate the effectiveness and the superior of the proposed SMPC algorithms.