Receding Horizon Control
Mar´ıa M. Seron
September 2004
Centre for Complex Dynamic
Systems and Control
The Receding Horizon Control Principle
Fixedhorizonoptimisationleads to a control sequence
fui; : : : ; ui+N1g, which begins at the current time i and ends at
some future time i + N 1.
This fixed horizon solution suffers from two potential drawbacks:
(i) Something unexpected may happen to the system at some
time over the future interval [i; i + N 1] that was not predicted
by (or included in) the model. This would render the fixed
control choices fui; : : : ; ui+N1g obsolete.
(ii) As one approaches the final time i + N 1, the control law
typically “gives up trying” since there is too little time to go to
achieve anything useful in terms of objective function
reduction.
Centre for Complex Dynamic
Systems and Control
The Receding Horizon Control Principle
The above two problems are addressed by the idea of receding
horizonoptimisation.
This idea can be summarised as follows:
(i) At time i and for the current state xi, solve an optimal control
problem over a fixed future interval, say [i; i + N 1], taking
into account the currentand futureconstraints.
(ii) Apply only the first step in the resulting optimal control
sequence.
(iii) Measure the state reached at time i + 1.
(iv) Repeat the fixed horizon optimisation at time i + 1 over the
future interval [i + 1; i + N], starting from the (now) current
state xi+1.
Centre for Complex Dynamic
Systems and Control
The Receding Horizon Control Principle
In the absence of disturbances, the state measured at step (iii) will
be the same as that predicted by the model.
Nonetheless, it seems prudent to use the measuredstate rather
than the predicted state just to be sure.
The above description assumes that the state is measured at
time i + 1.
In practice, one would use some form of observer to estimate xi+1
based on the available data.
More will be said about the use of observers in the next lecture.
For the moment, we will assume that the full state vector is
measured and we will ignore the impact of disturbances.
Centre for Complex Dynamic
Systems and Control
The Receding Horizon Control Principle
If the model and objective function are time invariant, then the
same input ui will result whenever the state takes the same value.
That is, the receding horizon optimisation strategy is really a
particular time-invariantstatefeedbackcontrollaw:
uk
xk+1 = f(xk; uk)
xk
PSfrag replacements
RHC
In particular, we can set i = 0 in the formulation of the open loop
control problem.
Centre for Complex Dynamic
Systems and Control
The Receding Horizon Control Principle
More precisely, at the current time, and for the current state x, we
solve:
PN(x) :
for k = 0; : : : ; N 1;
Vopt
N (x) , min VN(fxkg; fukg);
subject to:
xk+1 = f(xk; uk)
x0 = x;
uk 2 U for k = 0; : : : ; N 1;
xk 2 X for k = 0; : : : ; N;
xN 2 Xf X;
where
VN(fxkg; fukg) , F(xN) +
N1
X
k=0
L(xk; uk):
(1)
(2)
(3)
(4)
(5)
(6)
(7)
Centre for Complex Dynamic
Systems and Control
The Receding Horizon Control Principle
The sets U Rm, X Rn, and Xf Rn are the input, state and
terminal constraint set, respectively.
All sequences fukg = fu0; : : : ; uN1g and fxkg = fx0; : : : ; xNg
satisfying the constraints (2)–(6) are called feasible sequences.
A pair of feasible sequences fu0; : : : ; uN1g and fx0; : : : ; xNg
constitute a feasiblesolution.
The functions F and L in the objective function (7) are the terminal
stateweightingand the per-stageweighting, respectively.
Centre for Complex Dynamic
Systems and Control
The Receding Horizon Control Principle
In the sequel we make the following assumptions:
f, F and L are continuous functions of their arguments;
U Rm is a compact set, X Rn and Xf Rn are closed sets;
there exists a feasible solution to problem (1)–(7).
Because N is finite, these assumptions are sufficient to ensure the
existence of a minimum by Weierstrass’ theorem.
Centre for Complex Dynamic
Systems and Control