On the suboptimality of stochastic MPC with varying constraint horizon

Abstract

Enforcing stochastic state constraints over the full prediction horizon in Model Predictive Control (MPC) can be computationally demanding. Here we study stochastic MPC without terminal ingredients in which chance constraints are enforced only over a shorter constraint horizon. Using stochastic relaxed dynamic programming, we derive an explicit upper bound on the average expected closed-loop cost that depends on both prediction and constraint horizons. For linear quadratic problems with affine chance constraints and bounded uniform disturbances, we provide a deterministic reformulation via coordinate transformation and constraint tightening. Simulations illustrate the trade-off between computational effort and performance.