AI & ML
Stochastic MPC under Heavy-Tailed Disturbances: An Extreme Value Theory Approach
arXiv eess.SY0 views
arXiv:2609.21170v2 Announce Type: replace Abstract: Safety-critical control systems must contend with disturbances whose extreme deviations occur far more frequently than classical light-tailed models predict. Existing stochastic MPC (SMPC) formulations tighten constraints using an assumed distribution, a moment bound, or a finite scenario sample, each of which degrades under an unknown heavy-tailed disturbance. This paper develops an SMPC formulation for linear systems under heavy-tailed disturbances that is only assumed to be regularly varying, which allows an explicit extreme value theory (EVT) characterization of the tube error tail that is asymptotically exact. We further show that closed-loop dynamics induce temporal clustering of rare excursions across the prediction horizon, and characterize this clustering through a closed-form extremal index estimable from data. The resulting clustering-corrected constraint bounds the probability of a rare-event episode over the horizon, rather than only the marginal per-step exceedance probability. Simulations of a linear two-CSTR-in-series process and of a nonlinear unicycle navigating past an obstacle under Student-$t$ disturbances validate both approaches and demonstrate reduced frequencies of safety constraint violations.
Source:https://arxiv.org/abs/2609.21170PreviousSmoothing the Ramp, Not the Peak: Scheduling-Induced Power Dynamics of LLM Inference and Their Grid-Scale ConsequencesNextDeep Behaviour Cloning of Model Predictive Control for Real-Time Operation of a Hydrogen-Diesel Dual-Fuel Engine
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