IntroductionMPC PDF

ModelPredictiveControl:BasicConcepts
2009byA.Bemporad ControllodiProcessoedeiSistemidiProduzioneA.a.2008/09 1 /94

ModelPredictiveControl(MPC)
modelbased
optimizer process
reference input output
r(t) u(t) y(t)
measurements
Amodeloftheprocessisusedtopredictthefutureevolution
oftheprocesstooptimizethecontrolsignal

Recedinghorizonphilosophy
yt+k
Attime t:solveanoptimalcontrol r(t)
problemoveranitefuturehorizon
Predictedoutputs
of N steps:
ut+k
Manipulated
Inputs
t t+1 t+N
t+1 t+2 t+N+1
Onlyapplytherstoptimalmove
Attimet+1:Getnewmeasurements,repeattheoptimization.Andsoon

Advantageofrepeatedonlineoptimization:FEEDBACK!
RecedingHorizonExamples
MPCislikeplayingchess!
Rollinghorizonpoliciesare
alsousedfrequentlyinnance

RecedingHorizonExamples
predictionmodel howvehiclemovesonthemap
constraints driveonroads,respectonewayroads,etc.
disturbances mainlydriversinattention!
x=GPSposition
setpoint desiredlocation
u=navigationcommands
costfunction minimumtime,
Fastest route
minimumdistance,etc. Shortest route
Avoid motorways
recedinghorizonmechanism Walking route
Bicycle route
eventbased Limited speed
(optimalroutereplannedwhenpathislost)
GoodModelsfor(MPC)Control
Note:computationalcomplexityandtheoreticalproperties(e.g.
stability)dependonchosenmodel/objective/constraints
GoodmodelsforMPC:
Descriptiveenoughtocapturethemostsignicant
dynamicsofthesystem
E O FF
TRA D
Simpleenoughforsolvingtheoptimizationproblem
Makeeverythingassimpleaspossible,butnotsimpler.
AlbertEinstein
MPCinIndustry
History:Computercontrol(ManualMPC)
Fluidcatalyticcracking(FCC)is
themostimportantconversion
processusedinpetroleum
reneries.Itiswidelyusedto
convertthehighboiling
hydrocarbonfractionsof
petroleumcrudeoilstomore
Fluidcatalyticcracking valuablegasoline,olenicgases
(courtesyofShell/M.Morari) andotherproducts
(http://en.wikipedia.org/wiki/Catalytic_cracking)

MPCinIndustry
History:1979DynamicMatrixControl(DMC)byShell
(Motivation:multivariable,constrained)
PresentIndustrialPractice
linearimpulse/stepresponsemodels
sumofsquarederrors
objectivefunction
executedinsupervisorymode
Particularlysuitedforproblemswith
manyinputsandoutputs
constraintsoninputs,outputs,states
varyingobjectivesandlimitsonvariables
(e.g.becauseoffaults)
MPCinIndustry
Hierarchyofcontrolsystemfunctions:
Conventional MPC
(Qin,Badgewell,1997)

MPCinIndustry
(snapshotsurveyconductedinmid1999) (Qin,Badgewell,2003)
Forusmultivariablecontrolispredictivecontrol
TariqSamad,Honeywell(IEEEControlSystemSociety,President)(1997)
MPCinIndustry
Resultsfromarecentsurvey(November7,2005)abouttheuseofMPCtechniques/
realtimeoptimizationinasetofUSindustries:
DoyouseeyouruseofMPCaccelerating,
Industrialareaofrespondentstothesurvey: stayingconstant,ordeclining?
Pharmaceuticals 0.7%
0.7% Decreasing
Machinery
Food&Beverage 0.7%
Aerospace 0.7%
Automotive 1.5% Constant 28.8%
Mining 1.5%
Cement&Glass 2.2%
2.2% Increasing 69.8%
Metals
Plastics&Rubber 2.9%
Electronics 5.1% 0 20 40 60 80 100
Power 5.1%
Pulp&Paper 5.1% DoesyourcompanyuseMPC?
Other 11.0%
Oil&Gas 15.4%
No 19.0%
Chemicals 20.6%
Rening 24.3%
0 5 10 15 20 25 30 35 Routinely 35.2%
Sometimes 45.8%
courtesy: 0 10 20 30 40 50 60 70

ModelPredictiveControlToolbox
ModelPredictiveControlToolbox
MPCToolbox3.0(Bemporad,Ricker,Morari,1998today):
Objectorientedimplementation(MPCobject)
MPCSimulinkLibrary
MPCGraphicalUserInterface
RTWextension(codegeneration)
[xPCTarget,dSpace,etc.]
LinkedtoOPCToolboxv2.0.1
Onlylinearmodelsarehandled
http://www.mathworks.com/products/mpc/
MPCSimulinkLibrary
SingleMPCandmultipleswicthedMPCblockssupported
Reference/disturbancepreviewandtimevaryinglimitssupported
MPCGraphicalUserInterface

MPCTuningAdvisor

HybridToolboxforMATLAB
Features: (Bemporad,20032009)
Hybridmodels:design,simulation,verication
Controldesignforlinearsystemsw/constraints
andhybridsystems(onlineoptimizationviaQP/MILP/MIQP)
ExplicitMPCcontrol(viamultiparametricprogramming)
Ccodegeneration
Simulinklibrary
2450+downloadrequests
sinceOctober2004
http://www.dii.unisi.it/hybrid/toolbox
BasicsofConstrainedOptimization

MathematicalProgramming
Ingeneral,problemisdiculttosolve
usesoftwaretools

OptimizationSoftware
Taxonomyofmostknownsolvers,fordierentclassesof
optimizationproblems:
http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/
NetworkEnabledOptimizationServer(NEOS)forremotely
solvingoptimizationproblems:
http://neos.mcs.anl.gov/neos/solvers/
Comparisononbenchmarkproblems:
http://plato.la.asu.edu/bench.html
Goodopensourceoptimizationsoftware
http://www.coin-or.org/

Convexsets
Convexset Nonconvexset

Convexfunction

ConvexOptimizationProblem
fandCconvex
Veryecientnumericalalgorithmsexist
Globalsolutionattained
Extensiveusefultheory
Oftenoccurringinengineeringproblems
Tractableintheoryandpractice
Excellentreferencetextbook:ConvexOptimizationbyS.Boyd
andL.Vandenberghe http://www.stanford.edu/~boyd/cvxbook/

Polyhedra
Aconvexpolyhedronistheintersectionofanite
setofhalfspacesofRd
Aconvexpolytopeisaboundedconvexpolyhedron
b
x= 2
A 2
A
A2 1
A
1 x=
b1
A3x=b3 A3
Hyperplanerepresentation:

LinearProgram
GeorgeDantzig
(19142005)
Standardform:
f
fx
Slackvariables

LinearProgram
trasformation
frommaxtomin:
Changeinequality
direction:
ItisalwayspossibletoformulateLPproblems
usingminandinequalities

QuadraticProgram
ConvexoptimizationifP 0
HardproblemifP 0

MixedIntegerLinearProgram
Somevariablesarecontinuous,somearediscrete(0/1)
Ingeneral,itisaNPhardproblem
Richvarietyofalgorithms/solversavailable

Modelinglanguages
MOSEL,associatedwithcommercialpackageXpressMP
OPL(OptimizationProgrammingLanguage),associatedwith
commercialpackageIlogCPLEX
AMPL(AModelingLanguageforMathematicalProgramming)
mostusedmodelinglanguage,supportsseveralsolvers
GAMS(GeneralAlgebraicModelingSystem)isoneoftherst
modelinglanguages
LINGO,modelinglanguageofLindoSystemsInc.
GNUMathProg,asubsetofAMPLassociatedwiththe
freepackageGLPK(GNULinearProgrammingKit)
FLOPC++opensourcemodelinglanguage(C++classlibrary)
CVXmatlabbasedmodelinglanguage(fromStanford)
YALMIPanothermatlabbasedmodelinglanguage

LinearMPC

UnconstrainedOptimalControl
Linearmodel:
Goal:ndthatminimize
istheinputsequencethatsteersthe
statetotheoriginoptimally
2009byA.Bemporad ControllodiProcessoedeiSistemidiProduzioneA.a.2008/09 /94

[computationofcostfunction]

UnconstrainedOptimalControl
Theoptimumisobtainedbyzeroingthegradient
batchleast
andhence squares
Alternativeapproach:usedynamicprogrammingtondU*
(Riccatiiterations)
ConstrainedOptimalControl
Linearmodel:
Constraints:
Constrainedoptimalcontrolproblem(quadraticperformanceindex):

ConstrainedOptimalControl
Optimizationproblem:
(quadratic)
(linear)
ConvexQUADRATICPROGRAM(QP)

LinearMPCAlgorithm
past future
Predicted
outputs y(t+k|t)
Manipulated
Inputs u(t+k)
t t+1 t+N
Attimet:
Get/estimatethecurrentstatex(t)
SolvetheQPproblem
andletU={u*(0),...,u*(N-1)}bethesolution
(=nitehorizonconstrainedopenloopoptimalcontrol)
Applyonlyanddiscardtheremainingoptimalinputs
Repeatoptimizationattimet+1.Andsoon...
UnconstrainedLinearMPC
yt+k
Assumenoconstraints r(t)
Predictedoutputs
Problemtosolveonline: Manipulated ut+k
Inputs
t t+1 t+N
Solution:
UnconstrainedlinearMPCisnothingelsethanastandard
linearstatefeedbacklaw!

DoubleIntegratorExample
System:
sampling+ZOH
Ts=1s
Constraints:
Controlobjective:min
Optimizationproblemmatrices:
cost:
constraints:

gotodemo/demos/linear/doubleint.m (HybTbx)
seealsompcdoubleint.m (MPCTbx)
Addastateconstraint:
Optimizationproblemmatrices:
cost:
constraints:


LinearMPCTracking
Objective:maketheoutputy(t)trackareferencesignalr(t)
Idea:parameterizetheproblemusinginputincrements
Extendedsystem:letxu(t)=u(t1)
Againalinearsystemwithstatesx(t),xu(t)andinputu(t)
LinearMPCTracking
Optimalcontrolproblem(quadraticperformanceindex):
optimization
vector:
Note:
sameformulationasbefore(W=CholeskyfactorofweightmatrixQ)
Optimizationproblem:
Convex
Quadratic
Program(QP)

LinearMPCExample
Plant:
Samplingtime:
Model:
gotodemolinear/example3.m (HybTbx)
LinearMPCExample
Performanceindex:
ClosedloopMPC:
gotodemolinear/example3.m (HybTbx)
LinearMPCExample
Constraint0.8u(t)1.2(amplitude)
Constraint0.2u(t)0.2(slewrate)

AnticipativeAction
Futurereferencesamples(partially) Referencenotknowninadvance
knowninadvance(anticipatingaction): (causal):
gotodemompcpreview.m (MPCTbx)

MeasuredandUnmeasuredDisturbances
ManipulatedVariables u(k)
MeasuredDisturbances v(k)
Plant y(k) Outputs
Model
nd(k) Disturbance d(k)
Model Unmeasured
Disturbances
x(k)
d x(k)
Linearmodel
forMPC
optimization
(nd(k)=whiteGaussiannoise,nd(t+k|t)=0overthepredictionhorizon)
moredetailsaboutdisturbancemodelslateron
SoftConstraints
TopreventQPinfeasibility,relaxoutputconstraints:
=panicvariable
Vmin,Vmax=vectorswithentries0(thelargertheentry,the
relativelysofterthecorrespondingconstraint)
Infeasibilitycanbedueto:
modelingerrors
disturbances
wrongMPCsetup(e.g.,predictionhorizonistooshort)
DelaysMethod1
Linearmodelw/delays:
Mapdelaystopolesinz=0:
ApplyMPCtotheextendedsystem

DelaysMethod2
Linearmodelw/delays:
Delayfreemodel:
DesignMPCfordelayfreemodel:
Computethepredictedstate
ComputeMPCactionaccordingly:
Forbetterclosedloopperformance
onecanpredictx(t+)withamuch
u(t) = fMPC(x(t + ))
morecomplexmodelthan(A,B,C)!
MPCvs.ConventionalControl
Singleinput/singleoutputcontrolloopw/constraints:

equivalentperformancecanbeobtainedwithother
simplercontroltechniques(e.g.:PID+antiwindup)
HOWEVER
MPCallows(inprinciple)UNIFORMITY
(i.e.sametechniqueforwiderangeofproblems)
reducetraining
reducecost
easierdesignmaintenance
Satisfyingcontrolspecsandwalkingonwaterissimilar
botharenotdicultiffrozen!
MPCFeatures
Multivariableconstrainednonsquaresystems
(i.e.#inputsand#outputsaredierent)
Delaycompensation
Anticipativeactionforfuturereferencechanges
Integralaction,i.e.noosetforsteplikeinputs
Pricetopay:
Substantialonlinecomputation
Forsimplesmall/fastsystemsothertechniquesdominate
(e.g.PID+antiwindup)
NewpossibilitiesforMPC:explicitpiecewiselinearforms
MPCTheory
HistoricalGoal:ExplainthesuccessofDMC
PresentGoal:Improve,simplify,andextendindustrialalgorithms
Areas:
LinearMPC:linearmodel
NonlinearMPC:nonlinearmodel
RobustMPC:uncertain(linear)model
HybridMPC:modelintegratinglogic,dynamics,
andconstraints
Issues:
Feasibility
Stability(Convergence)
Computations
(Mayne,Rawlings,Rao,Scokaert,2000)
Feasibility
QUADRATIC
PROGRAM(QP)
Feasibility:GuaranteethattheQPproblemisfeasibleatallsamplingtimest
Inputconstraintsonly:nofeasibilityissues!
Hardoutputconstraints:
WhenN<1thereisnoguaranteethattheQPproblem
willremainfeasibleatallfuturetimestepst
N=1innitenumberofconstraints!
Maximumoutputadmissiblesettheory:N<1isenough
(Gilbert,Tan,IEEETAC,1991),(Kerrigan,Maciejowski,CDC,2000),
(Chmielewski,Manousiouthakis,Sys.Cont.Letters,1996)
Stability
StabilityisacomplexfunctionoftheMPCparameters
N,Q,R,P,umin,umax,ymin,ymax
Stabilityconstraintsandweightsontheterminalstatecanbeimposedover
thepredictionhorizontoensurestabilityofMPC

ConvergenceResult
(KeerthiandGilbert,1988)(Bemporadetal.,1994)
Proof:UsevaluefunctionasLyapunovfunction
ConvergenceProof
Lyapunovfunction
Globaloptimumisnotneededtoproveconvergence!
ConvergenceResult(alittlemoregeneral)
(KeerthiandGilbert,1988)(Bemporadetal.,1994)
Proof:UsevaluefunctionasLyapunovfunction
ConvergenceProof
Lyapunovfunction
Globaloptimumisnotneededtoproveconvergence!
ConvergenceProof

ConvergenceProof

StabilityConstraints
1.Noconstraint,inniteoutputhorizon:
(KeerthiandGilbert,1988)(RawlingsandMuske,1993)
2.Endpointconstraint:
(KwonandPearson,1977)(KeerthiandGilbert,1988)
3.Relaxedterminalconstraint:
(ScokaertandRawlings,1996)
4.Contractionconstraint:
(PolakandYang,1993)(Bemporad,1998)
Alltheproofsin(1,2,3)usethevaluefunction V (t) = min J(U, t)

U
asaLyapunovfunction
PredictedandActualTrajectories
Evenassumingperfectmodel&nodisturbances:
x(t) x*(t+2|t+1) =x(t+2) predictedopenlooptrajectoriesmaybe

dierentfromactualclosedloop
x*(t+2|t)
trajectories
x*(t+1|t) =x(t+1)
0 t t+N
Specialcase:forinnitehorizon,openlooptrajectoriesandlosedloop
trajectoriescoincide.ThisfollowsbyBellmansprincipleofoptimality.
optimalstatex*(t)
x*(t)
0
optimalinputu*(t)
0 RichardBellman
(19201984)

InputandOutputHorizons
InputhorizonNucanbeshorterthanoutputhorizonN
Nu<N=lessdegreesoffreedom,andhence:
Lossofperformance
Decreasedcomputationtime(QPissmaller)
Feasibilitystillmaintained(constraintsarestillcheckeduptoN)
typicallyNu=110
MPCandLQR
ConsidertheMPCcontrollaw:
JacopoFrancesco
Riccati(16761754)
(Unconstrained)MPC=LQR

MPCandLQR
ConsidertheMPCcontrollaw:
JacopoFrancesco
Riccati(16761754)
InapolyhedralregionaroundtheorigintheMPCcontrollawisequivalentto
theconstrainedLQRcontrollerwithweightsQ,R
MPC=constrainedLQR (Chmielewski,Manousiouthakis,1996)
(ScokaertandRawlings,1998)
Thelargerthehorizon,thelargertheregionwhereMPC=LQR

System:
sampling+ZOH
Ts=1s
Constraints:
Controlobjective:min
LQgain
solutionofalgebraicRiccatiequation
Optimizationproblem
(costfunctionwasnormalizedby
maxsvd(H))

Example:AFTI16
Linearizedmodel:
gotodemo/demos/linear/afti16.m (HybTbx)
afti16.m (MPCTbx)
Example:AFTI16

Example:AFTI16

Example:AFTI16
UnconstrainedMPC (=linearcontroller,LQR)
+actuatorsaturation25o
UNSTABLE!!!
Saturationneedstobeconsideredinthecontroldesign!
Saturation
Saturationneedstobeconsideredinthecontroldesign
linear v=Kx u x
plant
controller
sat
MPCtakesitintoaccountautomatically(andoptimally)
MPC v=f(x)=u u x
plant
controller
sat

TuningGuidelines
Weights:thelargertheratioWy/Wuthemoreaggressivethecontroller
Inputhorizon:thelargerNu,themoreoptimalbutthemorecomplexthecontroller
Outputhorizon:thesmallerN,themoreaggressivethecontroller
Limits:controllerlessaggressiveifumin,umaxaresmall
AlwaystrytosetNuassmallaspossible!
Scaling
Humansthinkinniteprecision...
Computersdonot!
Numericaldicultiesmayariseifvariablesassumeverysmallorverylargevalues
Example:y12 [1e4,1e4](V)
y22 [1e4,1e4](Pa)
useinstead:y12 [0.1,0.1](mV)
y22 [10,10](kPa)
Ideallyallvariablesshouldrangein[1,1].Forexample,onecanreplacey
withy/ymax

ObserverDesigninMPC

ObserverDesignforMPC
r(t) u(t) y(t)

measured
Optimizer Plant
Reference outputs
x(t)
Observer
stateestimate
Fullstatex(t)maynotbeavailable
Evenifavailable,noiseshouldbelteredout
Stateofpredictionmodelmaybedierentfromplantmodelx(t)
(e.g.:modelreduction,identication)
weneedtouseastateobserver
ModelforObserverDesign
u(k) MVs(ManipulatedVariables)
v(k) MDs(MeasuredDisturbances) Plant CVs(ControlledVariables)

yu(k)
model
(Unmeasured
Outputs)
nd(k) Unmeasured d(k)
disturbance
UMDs
whitenoise model (Unmeasured
innovations
Disturbances)
zm(k)
nm(k) Measurement m(k) + +
whitenoise
noise
MOs
ym(k)
model (MeasuredOutputs)
innovations
unmeasureddisturbancemodel measurementnoisemodel
Note:meas.noisemodelnotneededforoptimization!
ObserverDesign
Measurementupdate
Timeupdate
NOTE:separationprincipleholds!(undercertainassumptions)
(Muske,Meadows,Rawlings,ACC94)
KalmanFilterDesign
FullmodelfordesigningobservergainM
RudolfEmil
Kalman
(1930)
nd(k):representssourceformodelingerrors
nm(k):representssourceformeasurementnoise
nu(k):whitenoiseonallinputsuaddedforsolvabilityoftheRiccatiequation

IntegralActioninMPC
(andnotonlyinMPC)

OutputIntegrators
u(k)
yu(k)
v(k) Plant
nd(k) Unmeasured d(k) model + zm(k)
disturbance
whitenoise model +
innovations
ni(k) Output
Integrators
whitenoise
innovations
nm(k) Measurement +
whitenoise
noise
model
+ ym(k)
innovations m(k)
Introduceoutputintegratorsasadditionaldisturbancemodels
Undercertainconditions,observer+controllerprovidezeroosetin
steadystate

IntegratorsandSteadyStateOsets
Moregenerally,addintegratorsonstates+outputs:
u(k) yu(k)
v(k) Plant
model + ym(k)
+
ni(k) d(k)
Output
Integrators
Ddm
whitenoise
innovations Ddmd(k)
Usetheabovemodel+meas.noisemodeltodesignanobserver
(e.g.Kalmanlter)
Mainidea:observermakes (estimationerror)
MPCmakes (predictedtrackingerror)
)thecombinationmakes (actualtrackingerror)
Explanation:compensatesmodelmismatchinsteadystate
Errorfeedback
Idea:addintegralsofmeasuredoutputsasadditionalstates(similartolinear
statefeedbackcase) (Kwakernaak,1972)
Extendedpredictionmodel:
Implementation:
Explanation:ifclosedloopasymptoticallystable)q(k)!cost.
andhencey(k)!r(k)
ReferenceGovernor
Idea:ApplyMPCasthesetpointgeneratortolinearfeedbackloops
(e.g.:PID) (Bemporad,1997)
actual control
reference input constrained
outputs
r(k) w(k) c(k)
Local u(k)
desired
reference Feedback y(k)r(k)
Reference Plant
measuredoutputs
Governor
PrimalSystem
x(k)
estimatedplantstate+controllerstate
Separationofproblems:
Localfeedbackdesignedforstability,disturbanceattenuation,goodtracking,
withouttakingcareofconstraints
Actualreferencew(t)generatedonlinebyanMPCalgorithmtotakecareofconstraints

Objective:

MPCfrequencyanalysis(inactiveconstraints)
UnconstrainedMPCgain+linearobserver=lineardynamicalsystem
(=2d.o.f.dynamiccontroller)
ClosedloopMPCanalysiscanbeperformedusingstandard
frequencydomaintools(e.g.Bodeplotsforsensitivityanalysis)
u(t) Plant ym(t)

x(t)
MPC
^
xe(t) r(t)
InMPCTbx:ss(mpc)ortf(mpc)returntheLTIdiscretetimeformofthelinearized
(=noconstraints)MPCobject
Controllermatchingproblem
(DiCairano,Bemporad,
ECC09)
Giventhecontrolleru=Kx,ndweightsQ,R,PfortheMPCproblem
suchthat
! "
I 0 . . . 0 H 1 F = Kf v
thatis,theMPCcontrollercoincideswithKfvwhentheconstraints
arenotactive
QPmatrices:

ControllermatchingproblemExample
Openloopprocess:
Constraints:
Desiredcontroller(PID):
Statespaceform:
controller
matching
basedon
inverseLQR
ControllermatchingproblemExample
%&'(&')*+,- %&'(&')*+,-
$! $!
#! #!
! !
!#! !#!
!$! !$!
! " #! #" ! " #! #"
01(&')&+,- 01(&')&+,-
/! /!
$! $!
! !
!$! !$!
!/! !/!
!.! !.!
! " #! #" ! " #! #"
what PID would apply addoutputconstrainty(k)-5

matched MPC
Note:itsnottriviallyasaturationofPIDcontroller.Inthiscase
sat(PID)leadstoinstability

Example:MPCofaDCServomotor
R
M Tr
V e s T L
JM
bM r JL
bL
gotodemo/demos/linear/dcmotor.m (HybTbx)
mpcmotor.m (MPCTbx)
DCServomotorModel
R
M Tr
V e s T L
JM
bM r JL
bL
StepResponse
0 5 10 15
2009byA.Bemporad ControllodiProcessoedeiSistemidiProduzioneA.a.2008/09 Time(sec) 90 /94
DCServomotor:Specs
R
M Tr
V e s T L
JM
bM r JL
bL

DCServomotor:Exercise

DCServomotor:MPC

DCServomotor:MPC

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ModelPredictiveControl:BasicConcepts

2009byA.Bemporad ControllodiProcessoedeiSistemidiProduzioneA.a.2008/09 1 /94

reference input output

r(t) u(t) y(t)

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t+1 t+2 t+N+1

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Alltheproofsin(1,2,3)usethevaluefunction V (t) = min J(U, t)

x(t) x*(t+2|t+1) =x(t+2) predictedopenlooptrajectoriesmaybe

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r(t) u(t) y(t)

v(k) MDs(MeasuredDisturbances) Plant CVs(ControlledVariables)

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u(t) Plant ym(t)

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what PID would apply addoutputconstrainty(k)-5

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