Bayesian Optimisation for Robust Model Predictive Control under Model Parameter Uncertainty
Rel Guzman,Rafael Oliveira,Fabio Ramos,Rel Guzman,Rafael Oliveira,Fabio Ramos
We propose an adaptive optimisation approach for tuning stochastic model predictive control (MPC) hyper-parameters while jointly estimating probability distributions of the transition model parameters based on performance rewards. In particular, we develop a Bayesian optimisation (BO) algorithm with a heteroscedastic noise model to deal with varying noise across the MPC hyper-parameter and dynamic...
