51st IEEE Conference on Decision and Control
December 10-13, 2012. Maui, Hawaii, USA
Fundamentals of Economic Model Predictive Control
James B. Rawlings, David Angeli and Cuyler N. Bates
Abstract— The goal of most current advanced control systems
is to guide a process to a target setpoint rapidly and reliably.
Model predictive control has become a popular technology in
many applications because it can handle large, multivariable
systems subject to hard constraints on states and inputs. The
optimal steady-state setpoint is usually provided by some other
information management system that determines, among all
steady states, which is the most profitable. For an increasing
number of applications, however, this hierarchical separation
of information and purpose is no longer optimal or desirable.
A recently proposed alternative to the hierarchical decompo-
sition is to take the economic objective directly as the objective
function of the control system. In this approach, known as
economic MPC, the controller optimizes directly in real time
the economic performance of the process, rather than tracking
to a setpoint. The purpose of this tutorial is to explain how
to design these kinds of control systems and what kinds of
closed-loop properties one can achieve with them. We cover
the following issues: asymptotic average performance; closed-
loop stability and convergence, strong duality and dissipativity;
designing terminal costs, terminal regions, and terminal pe-
riodic constraints. Several examples are included to illustrate
these results.
I. I NTRODUCTION
The goals of advanced, large-scale feedback control sys-
tems are typically economic ones. Issues like profitability, re-
turn on capital, margins, efficiency of operation, cost cutting,
lean operation, etc. dominate the performance discussion
at this level of performance assessment. In the process
industries especially, but also in many other applications, the
current paradigm for achieving overall economic objectives
is to partition the information management, decision making,
and control system into two layers [1]–[3]. The first layer,
often referred to as real-time optimization (RTO), performs a
steady-state economic optimization of the plant’s variables,
updated on a timescale of hours or days. The RTO sends the
results of its optimization as a setpoint to the second layer,
usually referred to as the advanced process control system. It
is the task of this layer to guide the plant’s transient state to
the setpoint and, once arrived, to reject dynamic disturbances
that enter the system. This process control layer is often
implemented with model predictive control (MPC) because
of MPC’s flexibility, performance, robustness, and its ability
to directly handle hard constraints on both inputs and states
[4].
J. B. Rawlings and C. N. Bates are with Dept. of Chemical and
Biological Engineering, Univ. of Wisconsin, Madison, WI 53706, USA
(rawlings@engr.wisc.edu, cnbates@wisc.edu)
D. Angeli is with Dept. Electrical and Electronic Engineering, Imperial
College London, U.K. (d.angeli@imperial.ac.uk) and with the
Dip. Sistemi e Informatica, University of Florence, Italy.
978-1-4673-2066-5/12/$31.00
978-1-4673-2064-1/12/$31.00 ©2012
©2012 IEEE
IEEE
The hierarchical partitioning of information between these
layers has significant effects whenever the process deviates
from its setpoint. The objective function used by the con-
troller is usually shaped to achieve fast asymptotic tracking
to setpoint changes and low output variance in the face of
disturbances, and is usually unrelated to the economic costs
of operating the plant. For some industries, the vast majority
of a plant’s operating time is spent near a constant setpoint. In
these cases, the transient costs stemming from economically
suboptimal controller action can be ignored [5]. Even in
processes for which the best operating regime fails to be an
equilibrium, this hierarchical approach may still be applied;
see, for example, optimal periodic control [6]–[8]. In this
case, an economically optimal periodic trajectory is com-
puted on a slow time scale, and then a controller is designed
to asymptotically guide the system to that trajectory.
II. M OTIVATION FOR ECONOMIC MPC
While the classical approach has shown great versatility
and has seen widespread application, there are an increasing
number of problems for which dynamic economic perfor-
mance is crucial and the hierarchical separation of economic
analysis and control is either inefficient or inappropriate.
The general reason for this proliferation is that the time
scales on which continuous chemical processes react to
economic demands has shrunk as industries have matured
and products have diversified; flexibility and efficiency are
requirements the control system must now address [9]. At the
same time, the power of software and hardware available
for optimization has grown to the point where nonlinear
problems with thousands of variables can now be solved in
seconds and used for real time process control [10], [11].
Traditionally, several methods have been used to improve
the economic performance of control systems without di-
rectly providing economic information to the controller. The
two earliest methods for increasing the economic perfor-
mance of control are minimum variance control and eco-
nomic target selection. Minimum variance control involves
minimizing the variance around the setpoint so that the
controller can safely operate closer to the plant’s constraints,
increasing profit [12]. The target selector, used in conjunction
with MPC, is required because the RTO and MPC layers use
different models with different disturbance information; the
setpoint given by the RTO layer need not always be feasible
to the controller. By linearizing the steady-state economic
model of the RTO around the desired operating point, a
linear program can be solved to find the economically best
feasible target for the controller based off of an infeasible
RTO setpoint [13]. These approaches, however, both keep
3851
the same fundamental separation of information between the
steady-state optimization and control layers.
There are several proposals to improve the effective use of
dynamic and economic information throughout the hierarchy.
One is to move dynamic information into the RTO layer.
Termed dynamic real time optimization, a dynamic economic
problem is solved on a slow time scale to provide the
underlying regulatory layer with a target trajectory instead of
a target steady state [14], [15]. The alternative approach is to
move economic information into the control layer; when the
control problem is posed as an optimization problem, such
as in MPC, this approach involves modifying the traditional
tracking objective function. One method is to include the
economic model as a terminal cost, that is, the economic
model is evaluated at the predicted final state and input and
a multiple of the result is added to the tracking objective [16].
This has been shown to be effective, but an RTO layer is still
required to guide the system to a new operating point, and the
controller still has no knowledge of its economic effects prior
to the end of the horizon. Another method is to intentionally
give the optimizer an unreachable setpoint with no terminal
constraint [17], [18]. Of interest here, however, is the method
of economic model predictive control, which replaces the
tracking stage cost function directly with the economic stage
cost function used in the RTO layer (or elsewhere) [19], [20].
Thus, the controller directly and dynamically optimizes the
economic operating cost of the process, doing so without
reference to any steady state. Ostensibly, this renders the
RTO layer irrelevant, although in practice, including steady
state information from the controller’s model may still be
desirable.
The idea of optimizing dynamic economic performance
directly is not new. Infinite horizon control problems with un-
bounded costs were first considered in the field of economics
in the 1920s [21]. For discussion on the existence of optimal
control trajectories and their convergence to steady state
under various conditions the reader is referred to [22]. For
nonlinear systems with constraints and disturbances it is usu-
ally infeasible to implement infinite horizon control in real
time. Control involving economic optimization over a finite
horizon has, until recently, been primarily used in the design
and operation of batch systems; see, for an example, [23].
Theoretical analysis of economic model predictive control
for continuous processes began with stability proofs based on
convexity for linear systems and convex objectives [18], [19].
Average asymptotic cost guarantees and average constraints
were then demonstrated in [24] and [20]. Lyapunov-based
stability proofs for nonconvex systems were provided in [25]
and expanded in [26] and [27]. The design of economic
model predictive controllers using Lyapunov techniques is
presented in [28] and an analysis of performance in the
absence of any terminal constraints or penalties is presented
in [29]. Since its inception, economic MPC has been applied
to a small but growing variety of continuous processes. With
linear models and economics, it has been applied to building
heating and cooling and power management on a smart grid
[30], [31]. For nonlinear systems, computational studies and
3852
analysis on periodic processes have been done by [32], [33]
and computational studies of distributed economic model
predictive controllers have been published in [34].
III. M ATHEMATICAL BACKGROUND AND ANALYSIS OF
AVERAGE ASYMPTOTIC PERFORMANCE
We begin by comparing the forms, properties and con-
sequences of the tracking and economic objective functions
as they are used in the model predictive control framework.
The tracking objective function, used in what we refer to as
standard MPC, is designed to ensure asymptotic stability of
the desired steady state. This is accomplished by choosing
the stage cost to be minimal at the best feasible pair of steady
state and input, denoted (xs , us ).
Assumption 1: Standard MPC cost function
0 = `(xs , us ) ≤ `(x, u) for all admissible (x, u) (1)
where ` : X × U → R is the stage cost, X is the set of
admissible states and U is the set of admissible inputs.
This stage cost need not bear any functional relationship to
the operating cost of the plant and, in fact, is usually chosen
to be quadratic. The weights to the quadratic objective can
be used to prioritize target tracking on some states more than
others or change the size of the control action for a given
tracking error.
In economic MPC, the operating cost of the plant is used
directly as the stage cost in the MPC objective function.
Since the cost of operating the plant need not be zero at the
optimal steady-state operating conditions, (1) cannot hold
in general. More importantly, it may happen that `(x, u) <
`(xs , us ) for some feasible pair (x, u) that is not a steady
state. As a simple example, consider a CSTR with a first
order reaction; the reactant inflow is the input and the
product outflow is the output. If a linear cost is assigned
to the reactant and a linear profit is assigned to the product,
given any steady state (xs , us ) we can immediately find a
more profitable transient state, namely (xs , 0). Clearly, this
situation is not some rare pathology.
To begin analysis, we consider a discrete-time finite-
dimensional nonlinear system of the form
x+ = f (x, u) (2)
with state x ∈ X ⊆ Rn , input u ∈ U ⊂ Rm and state-transition
map f : X × U → X. The objective function is given as the
sum of stage costs:
∑ `(x(k), u(k)) (3)
k
subject to the model (2) as well as pointwise constraints:
(x(k), u(k)) ∈ Z k ∈ I≥0 (4)
for some compact, time-invariant set Z ⊆ X × U. Here, we
avoid considering the infinite horizon problem [22] and
define the finite horizon equivalent:
N−1
VN (x, u) =
∑ `(x(k), u(k)) (5)
k=0
where u = [u(0), u(1), . . . , u(N −1)] and x(0) = x. The set I≥0
in (4) denotes the non-negative integers, while I0:N refers to
the set {0, 1, . . . , N}. This finite horizon optimization problem
is solved in a rolling horizon fashion, applying the first
element of the optimal control sequence to the plant, waiting
for the next state measurement or estimate and then solving
the problem again by using the new initial state. Formally,
at each discrete time k, the following nonlinear program is
solved:
min VN (x, u)
u
 +
 x = f (x, u)
subject to (x(k), u(k)) ∈ Z k ∈ I0:N−1 (6)

x(N) = xs , x(0) = x
where we have added the terminal constraint x(N) = xs .
We define the admissible set ZN as the set of (x, u) pairs
satisfying the constraints:
ZN = {(x, u) | ∃ x(1), . . . , x(N) : x+ = f (x, u),
(x(k), u(k)) ∈ Z, ∀k ∈ I0:N−1 , x(N) = xs , x(0) = x} (7)
Next, we define the set of admissible states XN as the
projection of ZN onto X:
Having set the mathematical foundation, we now turn
attention to one of the most striking features of economic
MPC: without considering stability, we demonstrate that
the (nominal) average asymptotic performance of economic
MPC is at least as good as that of the best admissible steady
state. The theorem and its proof, as first presented in [24],
are as follows:
Theorem 1: Let x(0) ∈ XN . Then there exists at least one
admissible control sequence that steers the state to xs at time
N without leaving XN and the closed-loop system (2) and
(10) has an asymptotic average performance that is at least
as good as the best admissible steady state.
Proof: Let x ∈ XN . If u is a feasible control sequence
at time k for initial state x and u(0) is applied to the plant,
then {u(1), . . . , u(N − 1), us } is a feasible control sequence at
time k + 1, from initial state f (x, u(0)) because the problem
formulation (6) includes a terminal constraint. By induction,
feasibility of (6) follows for all non-negative times, for all
x ∈ XN .
As is usually derived in stability proofs of MPC with a
terminal constraint (see, for example [35, pp. 115-116,145-
146]), the following inequality holds along solutions of the
closed-loop system:

XN = {x ∈ X | ∃ u such that (x, u) ∈ ZN } (8) VN0 (x+ ) −VN0 (x) ≤ `(xs , us ) − `(x, u) (11)

Finally, an input sequence u = {u(0), u(1), . . . u(N − 1)} is where VN0 (x)denotes the optimal cost of (6). Taking asymp-
called feasible for initial state x if (x, u) ∈ ZN . With these totic averages of both sides of (11), we compute:
definitions, we formally define the optimal steady state as ∑Tk=0 VN0 (x(k + 1)) −VN0 (x(k))
the pair (xs , us ) that satisfies lim inf
n o T →+∞ T +1
T
`(xs , us ) = min `(x, u) | (x, u) ∈ Z, x = f (x, u) (9) ∑ `(x s s ) − `(x(k), u(k))
, u
x,u ≤ lim inf k=0
T →+∞ T +1
Strictly speaking (9) could be fulfilled by more than one ∑Tk=0 `(x(k), u(k))
state-control pair, but, for the sake of simplicity, we assume = `(xs , us ) − lim sup (12)
T →+∞ T +1
it to be unique. The optimization problem (6) defines an
implicit feedback law κN : XN → U which we denote Assuming without loss of generality that `(x, u) is nonnega-
tive:
u = κN (x) = u0 (0; x) x ∈ XN (10)
∑Tk=0 VN0 (x(k + 1)) −VN0 (x(k))
lim inf
where u0 (x) is the optimal solution of (6) for initial state x, T →+∞ T +1
and u0 (k; x) denotes this optimal solution at time k ∈ I0:N−1 VN0 (x(T + 1)) −VN0 (x(0))
in the horizon. Since we can handle the case of multivalued = lim inf (13)
T →+∞ T +1
optima by arbitrarily assigning a constant selection map,
VN0 (x(0))
we assume without loss of generality that u0 (x) is uniquely ≥ lim inf − =0
T →+∞ T +1
defined. Note that since we have not yet invoked Assumption
1, the control framework defined by (6) and (10) applies to We complete the proof by combining (12) and (13):
both standard and economic MPC. Finally, to guarantee the ∑Tk=0 `(x(k), u(k))
existence of a solution to the optimal control problem (6) we lim sup ≤ `(xs , us )
T →+∞ T +1
require the following assumption [26].
Assumption 2 (Model, cost, and admissible set): It should be noted that this result applies only to the asymp-
totic average cost; transient averages up to some arbitrary
time may take any value.
1) The model f (·) and stage cost `(·) are continuous. The
admissible set XN contains xs in its interior. IV. S TABILITY AND CONVERGENCE ANALYSIS
2) There exists γ : Rn → R≥0 of class K∞ such that for
each x ∈ XN there exists a feasible u, with We now turn attention to the second major consequence of
the economic objective function: while asymptotic economic
|u − [us , . . . , us ]T | ≤ γ(|x − xs |) performance is guaranteed, stability is not. A common ap-

3853
proach to prove the stability of standard MPC is to use the Regardless of λ (·), we have
optimal cost VN0 (x) as a Lyapunov function for the closed-
min L(x, u) ≤ min L(x, u)
loop system. Together, the inequalities (1) and (11) imply (x,u)∈Z (x,u)∈Z,x= f (x,u)
VN0 (x+ ) ≤ VN0 (x), that is, the optimal cost is monotonically = min `(x, u) = `(xs , us )
decreasing along solutions of the closed loop system. Under (x,u)∈Z,x= f (x,u)
mild additional conditions, one can use Lyapunov arguments Combining this with (17),
to prove the asymptotic stability of standard MPC.
If Assumption 1 does not hold, these stability arguments max min `(x, u) + λ̄ 0 (x − f (x, u))
λ̄ ∈Rn (x,u)∈Z
fail. The optimal cost function VN0 (x) need not be monotoni-
cally decreasing even if the system is stable. More fundamen- = min `(x, u)
(x,u)∈Z,x= f (x,u)
tally, for general nonlinear systems and cost functionals, it
we can see that condition (17) represents the absence of
is not even guaranteed that xs is an equilibrium point of the
a duality gap. Of note is the fact that strong duality is
closed loop system (2)–(10). Since there exists (x, u) such
a sufficient condition for dissipativity, and dissipativity is
that `(x, u) < `(xs , us ), it may be the case that the optimal
itself a sufficient condition for optimal operation at steady
trajectory from xs at time 0 to xs at time N is different than
state, in the sense that any feasible trajectory has an average
x(k) = xs for all k ∈ I0:N . These problems may be ignored
asymptotic cost no better than the best steady state [26].
for the case of linear systems with convex constraints and
a convex economic objective function, as shown in [18].
However, to prove the stability of economic MPC without A. Terminal Constraint
such harsh restrictions, we must make one crucial additional
assumption: dissipativity [26]. We now state and prove stability for the formulation (6),
Definition 1: The system (2) is dissipative with respect which includes a terminal constraint.
to the supply rate s : X × U → R if there exists a function Theorem 2: Suppose Assumption 2 holds and consider the
λ : X → R such that: closed-loop system defined by (2) and (10), where (xs , us ) is
the best feasible steady-state pair as defined in (9). If the
λ ( f (x, u)) − λ (x) ≤ s(x, u) (14) system (2) is strictly dissipative with respect to the supply
for all (x, u) ∈ Z ⊆ X×U. If in addition ρ : X → R≥0 positive rate:
definite1 exists such that: s(x, u) = `(x, u) − `(xs , us ) (19)

λ ( f (x, u)) − λ (x) ≤ −ρ(x) + s(x, u) (15) then xs is an asymptotically stable equilibrium point of the
closed-loop system with region of attraction XN .
then the system is said to be strictly dissipative. Proof: We begin the proof by defining the auxiliary
Before proceeding to the resulting stability proof, it is optimization problem
worthwhile to investigate the meaning of dissipativity. First,
let us consider the supply rate s(x, u) = `(x, u) − `(xs , us ). min ṼN (x, u)
u
The assumption of dissipativity is then equivalent to the  +
 x = f (x, u)
following: there exists λ : X → R such that subject to (x(k), u(k)) ∈ Z k ∈ I0:N−1 (20)
x(N) = xs , x(0) = x

min `(x, u) + λ (x) − λ ( f (x, u)) ≥ `(xs , us ) (16)
(x,u)∈Z
where the auxiliary objective function is defined as
With this supply rate, dissipativity depends on both the
N−1
system to be considered, f (·), and the stage cost function, ṼN (x, u) = (21)
`(·). If we were to choose `(·) to be positive definite around
∑ L(x(k), u(k))
k=0
(xs , us ) as is the case in standard MPC, note that equation
and the rotated stage cost is defined by (18). Since the only
(16) would be trivially satisfied for any system f (·) by
difference between (6) and (20) is the objective function,
choosing λ (x) = 0.
their feasible sets, XN , coincide. We next claim that the op-
Suppose now we restrict ourselves to linear Lyapunov-like timal trajectory u0 (x) of the rotated formulation is identical
functions λ (x) = λ̄ 0 x. Then, condition (16) becomes to the original formulation. We compute:
min `(x, u) + λ̄ 0 (x − f (x, u)) ≥ `(xs , us ) (17) N−1
(x,u)∈Z
ṼN (x, u) = ∑ `(x(k), u(k)) + λ (x(k)) − λ ( f (x(k), u(k)))
This equation is known as strong duality in the context of k=0
infinite horizon optimal control [22]. To see why, we define N−1

the rotated stage-cost = ∑ `(x(k), u(k)) + λ (x(k)) − λ (x(k + 1))

k=0
L(x, u) = `(x, u) + λ (x) − λ ( f (x, u)) (18) N−1
= λ (x(0)) − λ (x(N)) + ∑ `(x(k), u(k))
k=0
1A function is positive definite with respect to some point xs ∈ X if it is
continuous, ρ(xs ) = 0 and ρ(x) > 0 for all x 6= xs . = λ (x(0)) − λ (xs ) +VN (x, u)

3854
Since the objective functions of the original and rotated that
formulations differ by only a constant on feasible solutions
V f ( f (x, κ f (x))) ≤ V f (x) − `(x, κ f (x)) + `(xs , us ) (28)
and the constraints are the same, we conclude that the
solutions of (6) and (20) are equal. (x, κ f (x)) ∈ ZN,p ∀x ∈ X f
Next, using (16) and the definition of the rotated stage In this assumption, we implicitly also require the set X f to
cost (18), we note that be invariant under the control law u = κ f (x).
While Assumption 3 is identical to the assumption re-
L(xs , us ) = `(xs , us ) ≤ min L(x, u) (22) quired to prove the convergence of standard MPC with a
(x,u)∈Z
terminal cost and region, we note that in the economic case,
where we assume that L(xs , us ) = 0 without loss of generality. V f (x) need not be positive definite with respect to xs . We
Equation (22) is, in fact, the key point of the proof: we now state the companion to Theorem 2.
have used dissipativity to show that the augmented problem Theorem 3: Suppose Assumptions 2 and 3 hold and con-
(20) satisfies Assumption 1, and we may now use the sider the closed-loop system defined by (2) and (27), where
same stability arguments as for standard MPC. Specifically, (xs , us ) is the best feasible steady-state pair as defined in
the cost-to-go ṼN0 (x) serves as a Lyapunov function of the (9). If the system (2) is strictly dissipative with respect
closed-loop system. This optimal cost is continuous due to to the supply rate (19) then xs is an asymptotically stable
Assumption 2, positive definite with respect to xs and, due equilibrium point of the closed-loop system with region of
to strict dissipativity, strictly decreasing: attraction XN .
ṼN0 (x+ ) ≤ ṼN0 (x) + L(xs , us ) − L(x, u) Proof: We begin the proof by defining the equivalent
(23)
≤ ṼN0 (x) − ρ(x) auxiliary optimization problem
We conclude that xs is an asymptotically stable equilibrium min ṼN,p (x, u)
u
of the closed-loop system with region of attraction XN .  +
 x = f (x, u)
subject to (x(k), u(k)) ∈ Z k ∈ I0:N−1 (29)
x(N) ∈ X f , x(0) = x

B. Terminal Cost and Terminal Region
where the new auxiliary objective function is defined as
We now consider the stability of a new system, defined N−1
by the following optimization problem: ṼN,p (x, u) = ∑ L(x(k), u(k)) + Ṽ f (x(N))
k=0
min VN,p (x, u) We also define the rotated terminal penalty:
u
 +
 x = f (x, u) Ṽ f (x) = V f (x) + λ (x) − λ (xs )
subject to (x(k), u(k)) ∈ Z k ∈ I0:N−1 (24)

x(N) ∈ X f , x(0) = x Once again, the only difference between (24) and (29) is
the objective function, and so their feasible sets, XN,p ,
Instead of a terminal equality constraint, we only require
coincide. The optimal trajectory u0 (x) is also identical for
that x(N) be a member of a compact terminal region X f
each formulation. We compute:
which contains xs in its interior. The admissible set of (x, u)
N−1
becomes
ṼN,p (x, u) = ∑ `(x(k), u(k)) + λ (x(k))
+ k=0
ZN,p = {(x, u) | ∃ x(1), . . . , x(N) : x = f (x, u),
− λ ( f (x(k), u(k))) + Ṽ f (x(N))
(x(k), u(k)) ∈ Z, ∀k ∈ I0:N−1 , x(N) ∈ X f , x(0) = x} (25)
N−1
while the feasible set XN,p remains the projection of ZN,p = ∑ `(x(k), u(k)) + λ (x(k))
k=0
onto X. In addition, we augment the objective function:
− λ (x(k + 1)) +V f (x(N)) + λ (x(N)) − λ (xs )
N−1
N−1
VN,p (x, u) = ∑ `(x(k), u(k)) +V f (x(N)) (26)
k=0
= λ (x(0)) − λ (xs ) + ∑ `(x(k), u(k)) +V f (x(N))
k=0
where V f : X f → R is a penalty on the terminal state. As = λ (x(0)) − λ (xs ) +VN,p (x, u)
before, the optimization problem (24) defines an implicit
control law Since the objective functions of each formulation differ by
only a constant and the constraints are the same, we conclude
u = κN,p (x) = u0 (0; x) x ∈ XN,p (27) that the solutions of (24) and (29) are identical.
In addition to Assumption 2, we require one additional We now note the following: the pair (Ṽ f , L) has the
assumption on the terminal region and terminal penalty. property
Assumption 3 (Terminal penalty stability assumption): Ṽ f ( f (x, κ f (x))) ≤ Ṽ f (x) − L(x, κ f (x)) + L(xs , us ) ∀x ∈ X f
There exists a terminal region control law κ f : X f → U such (30)

3855
if and only if the pair (V f , `) satisfies Assumption 3. This
can be shown by adding λ ( f (x, κ f (x))) + λ (x) to both sides
of (3) and rearranging:
Ṽ f ( f (x, κ f (x))) − Ṽ f (x) ≤ −(`(x, κ f (x)) + `(xs , us )
− λ ( f (x, κ f (x))) − λ (x))
= −L(x, κ f (x)) + L(xs , us )
Having demonstrated that the pair (Ṽ f , L) satisfies As-
sumption 3 and noting that dissipativity once again guaran-
tees that (22) holds, one can use the same proof techniques
used for terminal regions in standard MPC (see, for instance
[27]) to show that
0 (x+ ) ≤ Ṽ 0 (x) + L(x , u ) − L(x, u)
ṼN,p
N,p s s
0 (x) − ρ(x)
≤ ṼN,p
We conclude that xs is an asymptotically stable equilibrium
of the closed-loop system with region of attraction XN .
C. Enforcing Convergence
The stability of economic MPC relies on the assumption
of dissipativity. Dissipativity itself is a property of both the
process and the objective function. For model predictive
control, the process is fixed but the objective function is
available to tune the performance of the controller. For
economic model predictive control, the objective function
is fixed as well because it comes from an economic model
of the plant. It is therefore prudent to ask how an economic
model predictive controller should be tuned. In particular,
how can dissipativity, and therefore stability, be achieved for
a process which is unstable when operated with controller
(10). One tuning method to achieve dissipativity is to modify
the stage cost of the objective function by adding a function,
α : X × U → R≥0 , that is positive definite around the desired
equilibrium:
¯ u) = `(x, u) + α(x, u)
`(x, (32)
To satisfy strict dissipativity, Definition 1, we require the
existence of a continuous function λ : X → R such that for
all (x, u) ∈ Z
α(x, u) ≥ λ (x) − λ ( f (x, u)) + ρ(x) − `(x, u) + `(xs , us ) (33)
In particular, we can define h(x, u) := λ̄ 0 (x− f (x, u))+ρ(x)−
`(x, u) + `(xs , us ) and compute
h̄(r) = max h(x, u)
(x,u)∈Z
|(x,u)−(xs ,us )|≤r
where we are guaranteed that the maximum exists because
Z is compact and ρ(·), `(·) and α(·) are continuous. By
choosing α(x, u) = h̄(|(x, u) − (xs , us )|) we can guarantee that
the system is strictly dissipative. By invoking Theorem 2, we
have the following result.
Theorem 4: Consider the nonlinear closed-loop system
defined by (6) and (10) and let (xs , us ) be the best feasible
steady-state pair as defined in (9). If the stage cost is chosen
according to (32) with α(x, u) = h̄(|(x, u) − (xs , us )|), then xs
is an asymptotically stable equilibrium point of the closed-
loop system with region of attraction XN .
Theorem 4 says that we can recover stability by adding a
sufficiently large positive definite penalty to the stage cost.
In theory, we may search over all continuous functions λ (·)
and all positive definite functions α(·) to find the one that
maximizes the economic performance of the controller while
satisfying (33). The key benefit of this tuning method is
that the tracking term α(·) restores the flexibility that was
lost by treating the controller objective function as fixed
entirely by the economic model. By changing the weight
of the tracking term, the emphasis the controller places on
stability and economic profit changes. For weights which
produce a closed-loop stable system, decreasing the tracking
weight increases economic performance but may, though not
necessarily, also increase the time taken to approach steady
(31) state.
V. E XTENSIONS
We now discuss two extensions of the basic theory of
economic MPC that are relevant to processes not operated
at steady state. The first is an application to systems with
precomputed optimal periodic solutions. As was previously
the case for systems with steady state targets, asymptotic
average cost is guaranteed to be at least as good as the
optimal periodic solution using a terminal constraint formu-
lation, while asymptotic convergence to that optimal periodic
solution requires an extra assumption. The second extension
to the theory is the inclusion of average constraints. For
stable closed-loop operation, average constraints do not need
to be considered by the control layer, as all average values
are equal to their steady states and can be handled by steady
state optimization. The motivation for considering average
constraints here is that constraints on state and input averages
of unsteady closed-loop processes cannot be dealt with in
such a manner, and should therefore be provided directly to
the controller (see, for an example, [19]).
A. Periodic Terminal Constraint
Here, we consider a process for which an optimal periodic
solution of period Q has been computed offline. We denote
this optimal periodic solution as (x∗ (k), u∗ (k)), k ∈ I0:Q−1 .
We modify the optimization problem of (6) to include a
periodic terminal constraint.
min VN,Q (x, u, q)
u
 +
 x = f (x, u)
subject to (x(k), u(k)) ∈ Z k ∈ I0:N−1 (34)
x(N) = x∗ (q), x(0) = x

The optimization problem now varies with time through the
index of the periodic trajectory reference, q = t mod Q ∈
I0:Q−1 . We denote the optimal solution for initial state x and
target index q as u0 (x, q). The resulting control law is
κN,Q (x, q) = u0 (0; x, q)
which is applied in a rolling horizon manner by selecting


u(x,t) = κN,Q x,t mod Q t ∈ I≥0 (35)
3856
We now state the main result of this section. (38) is a generalization of the usual notion of an average
Theorem 5: Consider the closed-loop system defined by ∑tk=0 v(k)
(2) and (35). The average asymptotic performance of the Av∗ [v] = lim
t→+∞ t +1
closed-loop system fulfills:
in the sense that when Av∗ [v] exists, the set Av[v] is a
Q−1
∑Tk=0 `(x(k), u(k)) ∑k=0 `(x∗ (k), u∗ (k)) singleton equal to Av∗ [v]. If Av∗ [v] does not exist (see, for
lim sup ≤ (36)
T →+∞ T +1 Q an example, [26]), then Av[v] is a nonempty, nonsingleton
set.
Proof: We begin by noting that recursive feasibility
of the optimization problem (34) can be argued in exactly We define the auxiliary variable y
the same way as it was in the proof of Theorem 2 and y = h(x, u)
omit the details for brevity. Denoting as VN0 (x, q) the cost
corresponding to the optimal input u0 (x, q)), we define the where h : Z → R p is arbitrary, but continuous. The average
following Lyapunov-like function constraint set is defined as Y ⊆ R p and we require it to
contain h(xs , us ) and be closed and convex. The purpose of
V (x,t) := VN0 (x,t mod Q) including average constraints in the economic MPC formu-
The equivalent inequality to (11), developed in the same lation is to ensure that
manner, is Av[y] ⊆ Y (39)
 −V(t, x(t)) 
V(t + 1, f (x(t), u(t)))
∗ ∗ (37) The optimization problem to be solved is
≤ ` x (τ(t)), u (τ(t)) − ` x(t), u(t)
min VN,A (x, u,t)
where we use the shorthand τ(k) := k mod Q. Proceeding as u
 +
in the proof of Theorem 1, we compute 
 x = f (x, u)
(x(k), u(k)) ∈ Z k ∈ I0:N−1

V (T + 1, x(T + 1)) −V (0, x(0)) subject to (40)
0 = lim inf x(N) = xs , x(0) = x
T →+∞ T +1 

 N−1
T ∑k=0 h(z(k), v(k)) ∈ Yt
∑ V (k + 1, f (x(k), u(k))) −V (k, x(k))
= lim inf k=0 Here, Yt is a time-varying constraint set defined recursively
T →+∞ T +1
∑Tk=0 `(x∗ (τ(k)), u∗ (τ(k))) − `(x(k), u(k)) by
≤ lim inf
T →+∞ T +1 Yi+1 = Yi ⊕ Y h(x(i), u(i)) for i ∈ I≥0 (41)
∑Tk=0 `(x∗ (τ(k)), u∗ (τ(k)))
= lim inf The binary set operators ⊕ and are defined by
T →+∞ T +1
T
∑ `(x(k), u(k)) V⊕W = {z = v + w | v ∈ V, w ∈ W}
− lim sup k=0 V W = {z | {z} ⊕ W ⊆ V}
T →+∞ T +1
Q−1
∑q=0 `(x∗ (q), u∗ (q)) ∑T `(x(k), u(k)) The recursion is initialized by
= − lim sup k=0
Q T →+∞ T +1 Y0 = NY ⊕ Y00 (42)
with Y00 ⊂ R p an arbitrary compact set containing the origin.
If stability, in the sense of asymptotic convergence to As before, the optimization (40) defines an implicit control
the optimal periodic solution, is desired, then an addi- law κN,A (x,t) from which the input is selected.
tional assumption must be made. This assumption is dis-
sipativity with respect to the time varying supply rate u = κN,A (x,t) = u0 (0; x,t) (43)
`(x, u) − `(x∗ (q), u∗ (q)). A rigorous statement and proof, We are now ready to state the main result of this section.
using slightly different arguments, is presented in [32].
Theorem 6: Provided x(0) is feasible, the closed-loop
system (2) and (43) has an average performance that is at
B. Average Constraints least as good as the best admissible steady state and satisfies
the average constraint (39) asymptotically.
For a given, bounded signal v : I≥0 → Rnv we define its
average, denoted Av[v], as the set of accumulation points of Proof: The arguments for feasibility and asymptotic
the averaged partial sums of the signal: average performance are again very similar to those for
t
Theorem 1 and are presented in [26]. The proof for the
∑ n v(k) asymptotic satisfaction of the average constraint is as follows.
Av[v] = v̄ ∈ Rnv | ∃tn → +∞ : lim k=0

= v̄ (38)
n→+∞ tn + 1 Combining (41) and (42) produces the following result for
Since v is bounded, the average of its partial sums is also Yt :
t−1
bounded. Bounded signals must have accumulation points Yt = Y00 ⊕ (t + N)Y ∑ y(k)
and therefore Av[v] is guaranteed to be nonempty. Note that k=0

3857
By (40), we then have sublevel set L≤0 = {(x, u) : `(x, u) ≤ 0}. Since this periodic
N−1 t−1 solution outperforms the best steady state, we can conclude
∑ h(x(k), u(k)) + ∑ y(k) ∈ Y00 ⊕ (t + N)Y from the converse of Theorem 2 that dissipativity does not
k=0 k=0 hold for this system. While there is no algebraic test to
Since Z is compact and h(·) is continuous, h(x(t), u(t)) is directly prove that this system is not dissipative for small
bounded independently of t. Therefore, α we can directly prove that it is dissipative for large α.
First, however, we test the system for strong duality. That
∑tk=0 y(k) Y00 ⊕ (t + 1 + N)Y is, we seek a scalar λ such that
lim ∈ lim
t→+∞ t +1 t→+∞ t +1
=Y λ x+ − λ x ≤ `(x, u) (45)

This completes the proof.
As an alternative to adding a tracking term to the objective
function of economic MPC to guarantee stability, an average
constraint of the form
y = h(x, u) = |x − xs |2 Av[y] ∈ {0}
can be added to the problem. This procedure is described
more thoroughly in [36], but generally produces a similar
tradeoff between the speed of convergence and transient
profit.
VI. E XAMPLES
To conclude this work, we present two examples to
illustrate the concept of dissipativity and its relation to the
tradeoff between stability and profitability, both of which are
adapted from [26].
A. Dissipativity and strong duality
The purpose of this example is to illustrate how dissipa-
tivity and strong duality can be computed, and demonstrate
that dissipativity is a relaxation of strong duality. We begin
by considering the following linear single-input single-output
system:
x+ = αx + (1 − α)u (44)
where α ∈ [0, 1) is an arbitrary scalar parameter. We also
define the non-convex stage cost:
`(x, u) = (x + u/3)(2u − x) + (x − u)4
The system (44) has one unique steady state for each input
u regardless of α, namely x = u. At steady state, the cost
function therefore becomes
4
`(x, u)|x=u = u2
3 actions [37]. Specifically, we consider two such irreversible
so that (xs , us ) = (0, 0) is the best steady state and `(xs , us ) =
0. It is not the case, however, that `(xs , us ) ≤ `(x, u) for
all x and u, violating Assumption 1. In fact, the stage
cost has negative global minima located at (x, u) =
√ two √
±(21 6/64, 7 6/192). Significantly, (0, 0) is a saddle-point
of `(x, u).
By selecting the input sequence +u0 , −u0 , +u0 , −u0 , . . .
which produces from (44) the corresponding state sequence
1+α
− 1−α u0 , 1+α 1+α
1−α u0 , − 1−α u0 , . . ., we can immediately verify the
existence of zero-average period-2 solutions of (44). Choos-
ing α to be sufficiently small and tuning the input amplitude
u0 , we can create period-2 solutions that belong to the
Since the left-hand side of (45) is a linear function of (x, u)
and `(x, u) has a saddle point at (0, 0), we conclude that this
system does not satisfy strong duality.
Next, we seek to establish dissipativity by evaluating a
specific candidate storage function, λ (x) = kx2 . By (16),
dissipativity holds if there exists a k and ε > 0 so that:
k(x+ )2 − kx2 ≤ −εx2 + `(x, u)
for all (x, u) ∈ R2 . Since (x − u)4 ≥ 0, this can be converted
into the quadratic equation
k(αx + (1 − α)u)2 − kx2 ≤ −εx2 + (x + u/3)(2u − x) (46)
Rearranging, (46) is satisfied only if the matrix
k(1 − α 2 ) − 1 56 − kα(1 − α)
 
Q= 5 2 2
6 − kα(1 − α) 3 − k(1 − α)
is positive definite. Requiring det(Q) > 0 yields the condition
−k2 (1 − α)2 + k(1 − α)(4α/3 + 5/3) − 49/36 > 0
which is equivalent to choosing k between
√
4α + 5 ± 16α 2 + 40α − 24
6(1 − α)
provided α > 1/2. We conclude that this system is dissipative
for all α ∈ (1/2, 1). In fact, this dissipativity condition
happens to be a tight condition because α = 1/2 is exactly
the critical value of α for which the zero average period-2
solutions exit the sublevel set L≤0 ; see Fig. 1 for a qualitative
picture.
B. Consecutive-competitive reactions
For the final example, we consider the control of a
nonlinear isothermal CSTR with consecutive-competitive re-
reactions:
P0 + B −→ P1
P1 + B −→ P2
The following process model comes from the dimensionless
mass balances around the reactor:
ẋ1 = u1 − x1 − σ1 x1 x2
ẋ2 = u2 − x2 − σ1 x1 x2 − σ2 x2 x3
ẋ3 = −x3 + σ1 x1 x2 − σ2 x2 x3
ẋ4 = −x4 + σ2 x2 x3

3858
 60
9
u
40
6
u1 u2
3 20
α
00 00
u = x/2 2 4 6 8 10 2 4 6 8 10
(a) (b)

1.6
(b) 4
1.2 3
x x10.8 x2
(a) 2
0.4 1
00 2 4 6 8 10 00 2 4 6 8 10
(c) (d)

Eco
1.2
R=0
u = −3x 0.8
0.4 Str. dual
x3 x4
0.4 0.2

0 2 4 6 8 10 0 2 4 6 8 10
Fig. 1: Qualitative picture of L0 : global minima (a),(b); α- Time (t) Time (t)
(e) (f)
dependent period-2 solution (black dots). Adapted from [26].
Fig. 2: Open-loop input (a), (b) and state (c), (d), (e), (f)
profiles with different cost functions. Adapted from [26].
where the states x1 , x2 , x3 and x4 are the concentrations of
10
P0 , B, P1 , and P2 respectively, and the inputs u1 and u2 are
inflow rates of P0 and B. The parameters σ1 and σ2 have
values 1 and 0.4, respectively. The time average value of u1 u1 5

is constrained to lie between 0 and 1.

Av[u1 ] ⊆ [0, 1] 0
0 2 4 6 8 10
Time (t)
The economic objective of this system is to maximize the R = 0.002 R = 0.004 R = 0.006 R = 0.008 R = 0.01

production of intermediate P1 , represented by the stage
cost: `(x, u) = −x3 . For a single second-order reaction, it
is known that periodic operation outperforms steady-state
operation of a CSTR, so we might expect unsteady closed
loop
 behavior here [37]. The optimal0 steady  state is x0s =
0.3874 1.5811 0.3752 0.2373 , us = 1 2.4310 .
For implementation of the MPC controller, we discretize
the system with a sample time Ts = 0.1, use a horizon of
100, add an upper bound of 10 to u1 (t) and a terminal
state constraint. Not only is the economic model predictive
controller unstable in the closed loop, but its trajectories also
appear chaotic.
As recommended by Theorem 4, a tracking term is added
to the objective function to explore the tradeoff between
stability and profit. The modified stage cost is given by
`(x, u) = −x3 + (1/2) |x − xs |2Q + |u − us |2R


(47)
We begin by keeping Q = 0 and increasing the R penalty in
steps. Average economic performance, defined through (38)
by Av[−`(x(k), u(k))], is presented in Table I. Note that the
negative sign arises because Table I presents profit, not cost.
Fig. 3: Stabilization via variation in input penalty. Adapted
from [26].
From the closed-loop trajectories in Figure 3 we can see
that the effect of increasing R is to increasingly dampen the
oscillations that the economic controller is taking. The loss in
profit demonstrates that this process is indeed suboptimally
operated at steady state.
While increasing the R penalty to 0.01 appears to make
the system dissipative, it does not make it strongly dual.
To make it so, we increase the Q penalty until the steady-
state problem is strongly dual. Strong duality is achieved
for Q = 0.36I4 and R = 0.002I2 and checked numerically by
solving the dual problem, presented in [25]. Figure 2 shows
that this does indeed stabilize the optimal steady state.
Next, we perturb the system away from steady state and
compare the performance of an economic MPC controller,
the strongly dual controller, a tracking controller with the
same R and Q penalties as the strongly dual controller,
and a hybrid controller with the same Q as the strongly

3859
 R avg profit 2
14
0 0.4472 1.5 12
10
0.002 0.4397
u1 1 u2 8
0.004 0.4233 6
0.006 0.4076 0.5 4
2
0.008 0.3938 00 00
2 4 6 8 10 12 14 2 4 6 8 10 12 14
0.01 0.3752
(a) (b)
TABLE I: Average economic profit for open-loop profiles 2 6
with varying R penalty. Adapted from [26]. 1.8
5
1.6
1.4 4
1.2
x1 1 x2 3
Case avg profit trans profit 0.8
0.6 2
0.4 1
Economic 0.4648 ∞ 0.2
00 2 4 6 8 10 12 14 00 2 4 6 8 10 12 14
R=0 0.3916 2.6201
Strongly dual 0.3848 1.6034 (c) (d)
Tracking 0.3812 1.0587 1.6 0.8
1.4 0.7 Eco
R=0
TABLE II: Average profit and transient profit for open-loop 1.2 0.6 Str. dual
1 0.5 track
profiles with varying R penalty. Adapted from [26]. x3 0.8 x4 0.4
0.6 0.3
0.4 0.2
0.2 0.1
00 2 4 6 8 10 12 14 00 2 4 6 8 10 12 14
dual controller, but R = 0. Figure 4 shows the open-loop Time (t) Time (t)
input and state profiles for these four cases. To evaluate the (e) (f)
performance of each controller, we consider both the average Fig. 4: Open-loop input (a), (b) and state (c), (d), (e), (f)
profit and transient profit. Transient profit is defined as total profiles with different cost functions and a random initial
profit made relative to steady state state. Adapted from [26].
∞
− ∑ `(x(k), u(k)) − `(xs , us ) (48)
k=0 analysis tools for stability and convergence, and we have
Transient profit is therefore a measure to quantify how eco- developed some basic understanding of average performance.
nomically efficient each controller is at returning to steady Many interesting questions remain, and we feel the field is
state. For the case of an economic controller that does not ripe for rapid progress. For example, one interesting question
converge to steady state, this measure is infinite. is how best to design the control system when an economic
Simulation results are presented in Table II. All stable performance goal is augmented with other more traditional
controllers operating with no disturbances have the same goals such as closed-loop stability and convergence to the
average profit. The three stable controllers presented here optimal steady state. Another interesting open question is
appear to have different average profits only because of the how to quantify achieved closed-loop performance given that
finite simulation length. The average economic profit differs the MPC controller optimizes only an open-loop, predicted
from Table I because of the different initial state combined performance.
with the finite simulation length. The key observation is that One of the next important steps forward for the research
controllers which placed more emphasis on the economic community will be to develop illustrative case studies that
objective made up to 147% more transient profit. If this show when this new approach provides enough benefit to be
system were to be perturbed from its steady state frequently, disruptive to the widely implemented, two-layer hierarchical
these improvements to economic efficiency could increase approach of steady-state optimization coupled with dynamic
the average profit of the system significantly. This example setpoint tracking.
therefore highlights the potential benefits of using economic
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