Stochastic Data-Driven Predictive Control with Equivalence to Stochastic MPC

Abstract: We propose a data-driven receding-horizon control method dealing with the chance-constrained output-tracking problem of unknown stochastic linear time-invariant (LTI) systems with partial state observation. The proposed method takes into account the statistics of the process noise, the measurement noise and the uncertain initial condition, following an analogous framework to Stochastic Model Predictive Control (SMPC), but does not rely on the use of a parametric system model. As such, our receding-horizon algorithm produces a sequence of closed-loop control policies for predicted time steps, as opposed to a sequence of open-loop control actions. Under certain conditions, we establish that our proposed data-driven control method produces identical control inputs as that produced by the associated model-based SMPC. Simulation results on a grid-connected power converter are provided to illustrate the performance benefits of our methodology.