Scenario-Based Probabilistic Reachable Sets for Recursively Feasible Stochastic Model Predictive Control

This letter presents a stochastic model predictive control approach (MPC) for linear discrete-time systems subject to unbounded and correlated additive disturbance sequences, which makes use of the scenario approach for offline computation of probabilistic reachable sets. These sets are used in a tube-based MPC formulation, resulting in low computational requirements. Using a recently proposed MPC initialization scheme and nonlinear tube controllers, we provide recursive feasibility and closed-loop chance constraint satisfaction, as well as hard input constraint guarantees, which are typically challenging in tube-based formulations with unbounded noise. The approach is demonstrated in simulation for the control of an overhead crane system.