Robust Dynamic Programming for Min–Max Model Predictive Control of Constrained Uncertain Systems

We address min-max model predictive control (MPC) for uncertain discrete-time systems by a robust dynamic programming approach, and develop an algorithm that is suitable for linearly constrained polytopic systems with piecewise affine cost functions. The method uses polyhedral representations of the cost-to-go functions and feasible sets, and performs multiparametric programming by a duality based approach in each recursion step. We show how to apply the method to robust MPC, and give conditions guaranteeing closed loop stability. Finally, we apply the method to a tutorial example, a parking car with uncertain mass.