ROBUST GPC USING PARAMETERIZED POLYHEDRA

SORIN OLARU†, DIDIER DUMUR†

†Automatic Control Department, Supelec, Plateau de Moulon

3 rue Joliot Curie, 91192 Gif-sur-Yvette, France
sorin.olaru@ieee.org, didier.dumur@supelec.fr
Abstract. The paper considers the discrete time-invariant linear systems affected by input
disturbances. The goal is to construct the explicit description of the Generalized Predictive
Control (GPC) law taking in account the constraints existence from the design stage. As nov-
elty the present work shows that the explicit solution can be found by exploiting the fact that
the optimum of a min-max multiparametric program is placed on the vertices of a parameter-
ized polyhedron which describes the feasible domain. As these parameterized vertices have
specific validity domains, the control law is expressed as a piecewise linear function of the
current system parameters, thus retrieving the existing formulation as a piecewise linear law.
For the case of GPC laws a look-up table with two-degrees of freedom polynomials in the
delay operator is constructed (also known as the affine RST formulation).

Key Words. Constrained predictive control, parameterized polyhedra, multiparametric linear

programming.

1. INTRODUCTION and represent valuable results. In the case of robust

Predictive Control is a very popular optimization
based control design techniques. It enjoys a remark-
able reputation for its simplicity and versatility. For a
long period, it was used in an unconstrained frame-
work resulting in low complexity closed form con-
trollers, the constraints violation being treated a pos-
teriori. Further, due to the time domain formulation of
the predictive laws, the inclusion of constraints from
the design stage was investigated with excellent results
towards stability, feasibility or robustness [10]. The
drawback is the relatively high complexity of the opti-
mization problem to be solved at each sampling time.
Improvements in the on-line computations can be
achieved if the explicit solution of the multiparametric
optimization problem related with the predictive law
is formulated. Thus at each sampling time, a piece-
wise linear function has to be evaluated instead of run-
ning an optimization routine. In the nominal case,
corresponding with a quadratic optimization problem
and linear constraints, the explicit solution was inves-
tigated with success using an algebraic approach in
[1], geometrical arguments [8],[4] and dynamic pro-
gramming [4]. These alternatives with different ma-
turity degrees converged towards similar formulations
MPC, the explicit solution is somehow more difficult
to achieve as the optimization problem is based on a
min-max cost function. It was successfully tackled in
the studies of [2], but the alternative geometrical meth-
ods had a delay in presenting similar solutions.
The current work is trying to compensate this set-
back by presenting an explicit solution for the robust
predictive control through geometrical arguments in
the continuation of [8]. The approach is based on
the concept of parameterized polyhedra and their cor-
responding parameterized vertices, where the optimal
solution is always situate. Another particularity will
be the specific focus on Generalized Predictive Con-
trol (GPC) framework which has a great success in in-
dustry applications [10].
In the following, Section 2 formulates the robust
GPC problem and the related optimization. Section 3
details the multiparametric optimization problem im-
plied by the predictive law. The main result is pre-
sented in Section 4 with the robust GPC explicit solu-
tion. In Section 5 the design procedure is applied to an
example while section 6 contains the conclusions.
2. Generalized Predictive Control applied, as at the next sampling time ”a receding hori-
zon strategy” is followed:
GPC implies the idea of minimizing a cost function
based on the predicted plant evolution. This strategy
is also called the ”receding horizon principle” and dif- N2
X
fers from one algorithm to another by the plant model min max U = min max |ŷt+j − wt+j |+
chosen or by the cost function considered. The Robust ku (t) kv (t) ku (t) kv (t)
j=N1
Generalized Predictive Control (RGPC) is character-
ized by two major features:
Nu
X
• It uses a CARIMA plant model: + λj |∆ut+j−1 | (6)
j=1
±
A(q −1 ) yt = B(q −1 ) ut−1 + ξt ∆(q −1 ) (1) © ª
| {z } with the vectors ku = ∆ut , . . . , ∆ut+Nu −1 and
vt kυ = {vt , . . . , vt+N2 −1 }. The optimization (6) has
to be solved subject to diverse types of constraints ris-
with u, y the system input and output, ξt a cen-
ing from operational or performance considerations.
tered Gaussian white noise, A and B polynomi-
These are represented as a set of linear inequalities:
als in the backward shift operator q −1 of respec-
tive degree na and nb , and ∆ = 1 − q −1 . 
 Cku + Dkv ≤ d + Ep,
• The cost function is penalizing the tracking er- M vt+k ≤ l, k = 0, . . . N2 − 1 (7)

ror and control effort over a receding horizon: ŷt+N2 ∈ Yf

T
N2 Nu p = [ut−1 · · · ut−nb yt · · · yt−na wt+N1 · · · wt+N2 ] ,
X X
U= |wt+j − ŷt+j | + λj |∆ut+j−1 | Yf is a terminal set and the terminal constraint in (7)
j=N1 j=1 is imposed from the stability considerations.
(2) The constrained optimization (6-7) provides a ro-
with ŷ(t + j) the output prediction, N1 , N2 the bust control sequence but is conservative as it consid-
prediction horizons, Nu the control horizon, λj ers all disturbance realizations ignoring that measure-
the control weighting factor and w the set-point. ments available as time progresses. The control po-
Note that the cost function U corresponds to the tential is improved if a feedback approach is adopted
sum of ∞ -norm terms in other robust MPC for- resulting in a nested min-max formulation:
mulations.
min {λ0 |∆ut | + max {|ŷt+k − wt+k | +
Based on the previous model, an j-step ahead predic- ∆ut vt
tor can be constructed: + min {. . . + min {λNu −1 |∆ut+Nu −1 | +
∆ut+1 ∆ut+Nu −1 ))
ŷt+j = Fj (q −1 )yt + Hj (q −1 )∆ut−1 + P
N2
| {z } + max |ŷt+k − wt+k | · · · }}
vt+Nu −1 ,...,vt+N2 −1 k=N
free response u

+ Gj (q −1 )∆ut+j−1 + J˜j (q −1 )vt+j (8)

| {z } subject to (7). This represents a ”closed loop” formu-
forced response
lation as stated in [9], avoiding also a part of the feasi-
(3)
bility problems.
where the Fj , Gj , Hj , Jj polynomials are solution of
the Diophantine equations:

∆(q −1 )A(q −1 )Jj (q −1 ) + q −j Fj (q −1 ) = 1 3. Robust GPC as multiparametric optimization

(4)
Gj (q −1 ) + q −j Hj (q −1 ) = B(q −1 )Jj (q −1 )

and J˜j (q −1 ) = Jj (q −1 )∆(q −1 ) is multiplying the
disturbance vt+j . The disturbances are included in a
polyhedral domain containing the origin defined by a
set of linear constraints:
V = {v |M v ≤ l; l ≥ 0 }
Robust GPC has to consider the worst combination of
disturbances and thus to solve at each sampling time
a min-max optimization problem, then only the first
component of the optimal sequence ku is effectively
The robust GPC problem formulated before is based
on the on-line solving of the associated min-max op-
timization problem (6-7) or (7-8). Both the cost func-
tion and the set of constraints depend on the parame-
ter’s vector p. This parametrization of the optimiza-
(5) tion problem to be solved at each sampling time is
transforming the on-line location of the minimum ar-
gument in a computationally prohibitive task. The al-
ternative solution is to explicitly formulate off-line the
optimal solution k∗u (p) as a piecewise linear function
and further evaluate it on-line.
3.1. Redefinition of the inner optimization 3.3. Multiparametric optimization
With the previous transformations, the optimization
The influence of the disturbances in the form (6) can be (6) can be written as a multiparametric linear program:
examined by the reconsideration of the extremal pos-
sible combinations of vertices in V for each prediction ku ∗ (p) = min ρ
stage completing the sequence kυ :  ρ,ku ,{σij }

 −1σi ≤ Si ku + Pi p + Wi kυl + si ≤ 1σij ,
j


vt ∈ V ⊂ R ⇒ kυ ∈ V N2 ⊂ RN2 
  n  1 ≤ i ≤ n, 1 ≤ l ≤ Nv
(9) 
 P 1



  σi 

  i=1 
 .. 
The optimum for the inner optimization in (6) will  .  ≤ 1ρ

  
be on the border of the feasible domain, more precisely   P
 n
Nv 

 σi
on one of the vertices of V N2 . Thus (6) becomes: 


 i=1

 A k + Ain2 kυl ≤ bin + Bin p,

 in1 u
min max U (p, ku , kυl ) 1 ≤ l ≤ Nv
ku vkυ
(11)
subj.toAin1 ku + Ain2 kυl ≤ bin + Bin p (10)
l ∈ L, kυl ∈ V N2
4. The explicit solution

with L = {1, 2, . . . , Nv } and Nv = 2N2 is the number In this section the closed form of this RMPC law will
of vertices in V N2 . This means that the inner optimiza- represent the main objective imply the construction of
tion (6) will act only on the set of vertices of V N2 . the explicit solution of (11). A procedure will be pro-
posed focusing on the set of constraints and its geo-
metrical correspondence [8]. The feasible domain will
be expressed as a parametrized polyhedron. In order
3.2. Redefinition of the outer optimization to get familiar with these concepts, some brief defini-
tions are introduced (details can be found in [6], [7]).
The main impediment in finding the explicit formu- It is noted in this part x = ku for simplicity.
lation of the solution for (6) is the expression of the
cost function, given as a collection of modulo terms. 4.1. Parameterized Polyhedra
In order to avoid the inherent difficulty of handling
it, an equivalent linear program (LP) [5] formulation A system of linear constraints as in (11) defines a poly-
must be achieved based on the idea that each such term hedron [7]:
can be bounded. The optimization problem is equiva-
lent with the minimization of the sum of these bounds. P = {x ∈ Rn |Aeq x = beq ; Ain x ≤ bin } (12)
This is resumed by the following result where the cost
or in a dual Minkowski representation of generators:
function is considered as a sum of linear terms in the
vector of unknowns ku and parameters p (the distur- ½ ¾
Pv Pr P
l
bance vector is ignored as its presence was avoided P = x ∈ Rn | x = λi xi + γi y i + µi zi
i=1 i=1 i=1
by the enumeration of the extremal combinations as P
v
shown previously). 0 ≤ λi ≤ 1, λi = 1 , γi ≥ 0 , ∀µi
i=1
Proposition 1: Relations (a) and (b) are equivalent: (13)
A parameterized polyhedron is defined in the im-
P
n plicit form by a finite number of inequalities and
(a) min U (ku , p) = min kSi ku + Pi p + si k∞ equalities with the note that the affine part depends lin-
x x i=1
s.t. Ain ku ≤ bin + Bin p early on a parameter vector p:
©
P 0 (p) = x ∈ Rn |Aeq x = Beq p+ beq ;
½ Ain x ≤ Bin p + bin }
(b) min ρ P
v
ρ,{σ
 i },ku = x(p)| x(p) = λi (p)xi (p)+
i=1

 −1σi ≤ Si ku + Pi p + si ≤ 1σi , 1 ≤ i ≤ n P
r P
l
 Pn
+ γi y i + µi zi
s.t. σi ≤ ρ i=1 i=1

 P
v
 i=1
Ain ku ≤ bin + Bin p 0 ≤ λi (p) ≤ 1, λi (p) = 1 , γi ≥ 0 , ∀µi
i=1
(14)
with σi , ρ ∈, 1 a unit entries vector of appropriate with zi the lines, yi the rays, xi the vertices and
length and n the number of ∞-norm terms in U . µi , γi , λ the corresponding coefficients.
 The parameterized polyhedron P 0 (p) has a non- Proposition 2: The solution of a MPLP optimiza-
parameterized correspondent in an augmented space: tion problem is characterized by the followings:
½µ ¶ a) If there exists a bidirectional ray z such that
0 x f T z 6= 0 or a unidirectional ray y such that f T y ≤ 0,
P̃ = ∈ Rn+m |
p µ ¶ ¾ then the minimum is unbounded;
£ ¯ ¤ x
¯
Aeq/in − Beq/in = beq/in b) For the subdomains of the parameter space
p Dif ez ∈ Rn where the associated polyhedron
(15) P = {x|Ain x ≤ Bin p + bin , p ∈ Dif ez } is empty,
The form (15) faces an important difficulty as it the problem is infeasible;
contains the unknown parameterized vertices xi (p). c) All bidirectional rays z are such that f T z = 0
They correspond to m-polyhedra in the augmented and all unidirectional rays y are such that f T y ≥ 0.
data (Rn )+parameter(Rm ) space (16). Consequently, For the sub domains Dk where the minimum:
the original vertices are:
³ ´
© ª
xi (p) = Projn Fim (P̃ 0 ) ∩ S(p) (16) min f T xi (p)|xi (p) vertex of P(p)

where Projx (.) projects Rn+m onto the original space is attained by a constant subset of vertices of P (p), the
Rn and S(p) is the affine subspace: complete solution is:
½µ ¶ ¾
x ¯
n+m ¯ Sk (p) = conv.hull {x∗1k (p), . . . , x∗sk (p)} +
S(p̂) = ∈R p = p̂ (17)
p + cone {y1∗ , . . . , yr∗ } + lin.spaceP (p)

and Fim (P̃ 0 ) is a m-face of P̃ 0 found as the intersec- where x∗i are the vertices corresponding to the mini-
tion between P̃ 0 and the supporting hyperplanes [7]. mum and yi∗ are such that f T yi∗ = 02
For each face of the polyhedron P̃ 0 , a set of ac- Adapting this result to our goal of finding the ex-
tive constraints is well defined, resulting in the fact plicit solution for the LP in robust GPC yields to:
¡ ¢T
that each point xi (p)T pT ∈ Fim (P̃ 0 ) lies in a Proposition 3: The solution of a MPLP within ro-
subspace of dimension m and thus x and p are related: bust GPC satisfies:
· ¸ · ¸ · ¸ a) The problem is infeasible for the subdomains
Aeq A0eq beq Dif ez ∈ Rn where no parameterized vertex is avail-
x= p+ (18)
Āini Ā0ini b̄ini able;
b) Subdomains Dk are defined for the zones where
where Āini , Ā0ini , b̄ini are the subset of the inequali- the solution Sk (p) = conv.hull {x∗1k , . . . , x∗sk } is
ties defined previously, satisfied by saturation. If the given by the same set of parameterized vertices sat-
£ ¤T
matrix AT eq ĀT ini is not invertible, it corre- isfying:
m 0
sponds to faces Fi (P̃ ) where for one given p more
than one point x ∈ Rn is feasible and such combina- f T x∗1k = T ∗
© .T. . = f xsk = ª
tions do not match a vertex of P 0 (p) and are the zones = min f xi (p)|xi (p) vertex of P(p)
where P 0 (p) changes its shape. In the invertible case,
the dependencies are: Remark: As the parameters in (24) vary in the pa-
rameter space, the vertices of the optimization domain
· ¸−1 · ¸ may split, shift or merge. The optimum will follow this
Aeq A0eq
xi (p) = p+ evolution in the parameter space as it is a continuous
Āini Ā0ini
· ¸−1 · ¸ (19) function of parameters.
Aeq beq
From a practical point of view the implementation
Āini b̄ini
of this result is direct and follows the steps:
The validity domain V Di ∈ Rn for each such pa- 1) Find the expression of the parameterized feasi-
rameterized vertex is found by projecting the corre- ble domain in the augmented data+parameter space:
spondent face Fim (P̃ 0 ) onto the parameters subspace. · ¸
£ ¤ x
Ain x ≤ Bin p+bin ⇔ Ain −Bin ≤ bin
p
4.2. Explicit solution for MPLP
Recalling the problem to be solved similarly to (11): 2) Find the n-vertices where n is the dimension of
the parameter space.
x∗ (p) = min f T x 3) Retain only those corresponding to parameter-
x (20)
subject to Ain x ≤ Bin p + bin ized vertices by ignoring those with non-invertible pro-
jection on the parameter space
with the optimal solution as a piecewise affine function 4) Compute validity domain Dk for each parame-
of the parameters, a generalization for the parameter- terized vertex
ized polyhedra of the geometrical description of the 5) Compare each pair of vertices. In the case of a
LP solution in Chernikova [6] might be: non-empty intersection of their validity domains split
them using the linear cost function. The final expres-
sion will be a union of regions corresponding to the
parameterized vertices containing the optimum.
Remark: The difference of two convex domains is
not a close operation and the output of the procedure
is a union of convex sub-domains of the parameters’
space, not necessary covering entire Rm (step 4).
From the robust GPC point of view, the difference:
1. Find the corresponding set Dk , k = 1..r for the
current p. Return infeasible if no Dk found.
2. Compute uGP C using the RST law for Dk .
3. Update the set of context parameters p.
4. Restart from 1 with the new p.
5. Examples

ℵ = Rm \ {∪Dk ; k = 1..nD } (21) Consider the model:

describes the regions of infeasible parameters. yt = yt−1 + ut + vt (22)

A special attention must be given to the step 5 with
the iterative comparison of the vertices and their valid- has to be regulated to the origin by minimizing a cost
ity domains. A possible routine may be based on the function with the horizons Nu = 2, N2 = 2:
following procedure: 1
X
procedure CutDomains (V D: the set of validity do- U= {|yt+k | +(k + 2) |ut+k |} (23)
mains) k=0
n=cardinal (V D); i=1; j=2;
while i < n + 1 The following constraints, and the disturbance limita-
while j < n + 1 tions will be considered:
if V Dj ∩ V Di 6= ∅ 
 −1.2 ≤ ŷt+k ≤ 1.2, k = 0, 1, 2
if f T xi ≤ f T xj then V Dj = V Dj − V Di
−1 ≤ ŷt+2 ≤ 1 (24)
else V Di = V Di − V Dj 
−0.4 ≤ vt+k ≤ 0.4, k = 0, 1
endif
j = j + 1; If these disturbances are ignored, the explicit solution
endif can be found using the geometrical approach presented
end in the previous section by creating the double descrip-
i=i+1 tion of a dimension 7 parameterized polyhedron, with
end the paramater’s space described by the past outputs
£ ¤T
yt yt−1 . There are 30 non-degenerate param-
4.3. Explicit robust GPC law in RST form eterized vertices and from the comparisons of them
The result of the presented algorithm will be a set of and their validity domains one can find the projection
r validity domains and for each such domain a linear rules, the result being a look up table of affine polyno-
function will identify the analytical solution of the op- mial controllers:
timization (11). The overall function will be piecewise
linear and continuous: ∆ut = (−1.5 + q −1 )yt−1 + 0.5 f or D1 ∪ D 2
x = F1 p + f1 for V D1 : (M1 p < m1 )
... ∆ut = 0 f or D3 ∪ D4
x = Fr p + f r for V Dr : (Mr p < mr )
with
Recall from section II, the fact that the parameters    
vector was defined as: 
 3 −2 · ¸ 1 

 
0 −1  y  −1.2
T D1 = 
 −1
 t−1
≥ 
p = [ut−1 · · · ut−nb yt · · · yt−na wt+N1 · · · wt+N2 ] 
 0  yt−2  −1.2 

 
0 1 −1.2
and thus the linear dependencies can be rewritten as
   
polynomial control laws:  0 −1 · −1.2 

 ¸ 
−3 2  yt−1  1 
u(t) = T (q) w(t) − S(q −1 ) u(t) − R(q −1 ) y(t) + f D2 = 
 0
 
≥ 

 1  yt−2 −1.2 

 
The explicit formulation of the constrained GPC law 1 0 −1.2
is stated as a collection of affine RST laws:    

 −2 1 · ¸ 0 

  −1.2 
ut = T1 wt − S1 ut − R1 yt + f1 for V D1 : (M1 p < m1 ) 0 −1  yt−1
... D3 = 
 3
 
≥ 
ut = Tr wt − Sr ut − Rr yt + fn for V Dr : (Mr p < mr ) 
 −2  yt−2 −1 
 
0 1 −1.2
Once this look-up table is available, an efficient po-
   
sitioning mechanism can be constructed such that the 
 0 1 · ¸ −1.2 
  −1 
following on-line routine can find the control action −3 2  yt−1
D4 = 
 0
 
≥ 
according to the robust GPC philosophy. 
 −1  yt−2 −1.2 

 
Algorithm 2 (on-line solver) 2 1 0
 It can be observed that D3 ∪ D4 define a con-
vex set. This superfluous cutting is due to the fact
that the cost function changes the slope and the op-
timum lies on a different parameterized vertex in the
augmented space even if the projection is similar. In
general such unions can be collated with tools of
convex recognition of unions of polyhedra [3]. The
found explicit control law has been implemented with
£ ¤T £ ¤T
yt yt−1 = −1 −1 as initial condition.
If affected by vt+k = (−1)k /k, k ≥ 1 , the trajec-
tory will violate the constraints due to its destructive
effects not taken into account. It is useful to note that
due to the important weight on the control effort when
the disturbances diminish, the system goes towards a
steady value of 1 instead of 0. The constraints viola-
tion is evident in the Fig. 1a describing the explicit
control law as the trajectory overpasses the zone of
feasible combinations.
Similarly one can found the explicit formulation of
the robust GPC law based on the min-max problem:
{∆ut , ∆ut+1 } = min max U (25)
∆ut ,∆ut+1 vt ,vt+1
The solution lies on the parameterized vertices of a
polyhedron of dimension 7 with 2 parameters. There
are 94 non-degenerate parameterized vertices. Follow-
ing the elimination stage, only 10 of them are retained
and the explicit control law is expressed by a piece-
wise affine law as in Fig. 1b (computational time was
less than one second). Fig. 1b presents also the time-
response under this robust control law. The robust con-
straints’ satisfaction is clearly underlined, even in the
early stages where the nominal law failed.
6. CONCLUDING REMARKS
The paper presented a geometrical approach for the ro-
bust Generalized Predictive Control under constraints.
Its explicit formulation was obtained by means of pa-
rameterized polyhedra. This geometrical approach
proposes an alternative to the recent methods pre-
sented in the literature. Its advantages might be the
fact that optimum lies on the parameterized vertices
providing a direct constant linear affine dependence in
the context parameters. The disadvantages are linked
to the fact that the procedure of identifying the param-
eterized vertices might be computationally demanding
for complex constraint sets.
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 (a) Nominal GPC (b) Robust GPC

Figure 1: Upper part: Time simulations. Lower part: the cuttings in parameters’ space and the state trajectories
during simulation.