MPC Invariant Set

Introduction
Set invariance theory

i-steps sets
Robust invariant sets
Set Invariance
D. Limon
A. Ferramosca
E.F. Camacho
Department of Automatic Control & Systems Engineering

University of Seville
HYCON-EECI Graduate School on Control
Limon, Ferramosca, Camacho
Set Invariance
Introduction
i-steps sets
Outline
1
Introduction
Some definitions

One step set
The reach set
i-steps sets
i-steps controllable set
Maximal Control invariant set
Maximal stabilisable set
Example
Some comments

Set Invariance
Introduction
i-steps sets
Some definitions
Set invariance
Set invariance is a fundamental concept in design of

controller for constrained systems.
The reason: constraint satisfaction can be guaranteed for
all time (and for all disturbances) if and only if the initial
state is contained inside a (robust) control invariant set.
The evolution of a constrained system is admissible if there
exists an invariant set X , where X is the set where
constraints on the state are fullfilled. Hence, if x0 X ,
then xk X , for all k.
Introduction
i-steps sets
Set Invariance
Some definitions
Set invariance
Set invariance is strictly connected with stability.
Lyapunov theory states that, if there exists a Lyapunov
function V (x) such that:
V (x) 0
then, for all x X , any set defined as:
= {x Rn : V (x) } X
is an invariant set for the system, and hence for any initial
state x0 , the system fulfills the constraints and remains
inside .
Set Invariance
Introduction
i-steps sets
Some definitions
Positive invariant set

Consider an autonomous system:
xk +1 = f (xk ), xk X
Definition (Positive invariant set)
Rn is a positive invariant set if x0 X , xk , for all
k 0.
If the system reaches a positive invariant set, its future
evolution remains inside this set.
The maximum invariant set, max X , is the smallest positive
invariant set that contains all the positive invariant sets
contained in X .
Introduction
i-steps sets
Set Invariance
Some definitions
Positive control invariant set

Consider the system:
xk +1 = f (xk , uk), xk X , uk U
xk Rn and uk Rm .
Definition (Positive control invariant set)
Rn is a positive control invariant set if x0 X , there
exists a control law uk = h(xk ) such that xk , for all k 0,
and uk = h(xk ) U.
Set Invariance
Introduction
i-steps sets
One step set

The reach set
One step set

xk +1 = f (xk , uk), xk X , uk U
xk Rn and uk Rm .
Let f (0, 0) = 0 be en equilibrium point.
Definition (One step set)
The set Q() is the set of states in Rn for which an admissible
control inputs exists which will guarantee that the system will be
driven to in one step:
Q() = {xk Rn |uk U : f (xk , uk ) }
Set Invariance
Introduction
i-steps sets
One step set

The reach set
One step set

The previous definition is the same for a system controlled by a
control law u = h(x):
Q h () = {xk Rn : f (xk , h(xk )) }
Property:
Monotonicity: consider sets 1 2 , then:
Q(1 ) Q(2 )
Set Invariance
Introduction
i-steps sets
One step set

The reach set
Geometric invariance condition

The one step set definition allow us to define a condition for
guaranteing the invariance of a set.
Geometric invariance condition: set is a control invariant
set if and only if
Q()
2
Q()
1.5
x2
0.5
0.5
Q()
1.5
2
3
0
x1
2
6
is not invariant
is invariant
Set Invariance
Introduction
i-steps sets
One step set

The reach set
The reach set

Definition (The reach set)
The set R() is the set of states in Rn to which the system will
evolve at the next time step given any xk and admissible
control input:
R() = {z Rn : xk , uk Us.t.z = f (xk , uk )}
For closed-loop systems, R h () is the set of states in Rn to
which the system will evolve at the next time step given any
xk :
R h () = {z Rn : xk , s.t.z = f (xk , h(xk ))}
Set Invariance
10
Introduction
i-steps sets

Example
Some comments

Definition
The i-steps controllable set Ki (X , ) is the set of states for
which exists an admissible control sequence such that the
system reaches the set X in exactly i steps, with an
admissible evolution.
Ki (X , ) = {x0 X : k = 0, ..., i 1, uk Us.t.xk Xandxi }
This set represents the set of all states that can reach a given
set in i steps, with an admissible evolution and an admissible
control sequence.
Introduction
i-steps sets
Set Invariance
11

Example
Some comments
Properties
Ki+1 (X , ) = Q(Ki (X , )) X , with K0 (X , ) = .
Ki (X , ) Ki+1 (X , ) iff is invariant.
The set K (X , ) is finitely determined if and only if i N
such that K (X , ) = Ki (X , ). The smallest element
i N such that K (X , ) = Ki (X , ) is called the
determinedness index.
If j N such that Ki+1 (X , ) = Ki (X , ), i j, then
K (X , ) is finitely determined.
For closed-loop systems:
Kih (X , ) = {x0 X h : xk X h k = 0, ..., i 1, andxi }
where X h = {x X : h(x) U}.

Set Invariance
12
Introduction
i-steps sets

Example
Some comments

Definition
The set C (X ) is the maximal control invariant set contained in
X for system xk +1 = f (xk , uk ) if and only if C (X ) is a control
invariant set and contains all the invariant sets contained in
X.
C (X ) X
This set is derived from the definition of the i-steps admissible
set, Ci (X ), that is the set of states for which exists an
admissible control sequence such that the evolution of the
system remains in X during the next i steps.
Ci (X ) = {x0 X : k = 0, ..., i 1, uk Us.t.xk +1 X }
Introduction
i-steps sets
Set Invariance
13

Example
Some comments
Properties
Ci (X ) = Ki (X , X ).
Ci+1 (X ) Ci (X ).
If x0 X Ci (X ), there not exists an admissible control law
which will ensure that the evolution of the system is
admissible for i steps.
C (X ) is the set of all states for which there exists an
admissible control law which ensures the fulfillment of the
constraints for all time.
C (X ) is finitely determined if and only if there exists an
element i N, such that Ci+1 (X ) = Ci (X ), i i .
Hence, Ci (X ) = C (X ).
Ki (X , ) C (X ), i and X .
Set Invariance
14
Introduction
i-steps sets

Example
Some comments

Definition
The set S (X , ) is the maximal stabilisable invariant set
contained in X for system xk +1 = f (xk , uk ) if and only if
S (X , ) is the union of all i-step stabilisable sets contained in
X.
This set is derived from the definition of the i-steps stabilisable
set, Si (X , ), that is the set of states for which exists an
admissible control sequence that drive the system to the
invariant set in i steps with an admissible evolution.
Si (X , ) = {x0 X : k = 0, ..., i1, uk Us.t.xk Xandxi }
The only difference between Si (X , ) and Ki (X , ) is the
invariance condition for .
Introduction
i-steps sets
Set Invariance
15

Example
Some comments
Properties
Si+1 (X , ) = Q(Si (X , )) X , with S0 (X , ) = .
Si (X , ) Si+1 (X , ).
Any Si (X , ) is a control invariant set.
Consider 1 and 2 invariant sets, such that 1 2 .
Then Si (X , 1 ) Si (X , 2 ).
Si (X , Sj (X , )) = Si+j (X , ).
S (X , ) is finitely determined if and only if there exists an
element i N such that Si+1 (X , ) = Si (X , ), for any
i i . Furthermore, S (X , ) = Si (X , ), for any i i .
Sih (X , ) = {x0 X h : xk X h k = 0, ..., i 1, andxi }
where X h = {x X : h(x) U}.

Set Invariance
16
Introduction
i-steps sets

Example
Some comments
Example
i-steps controllable and stabilizable sets
not Invariant
x2
Invariant
S1
K1
2
3
6
0
x1
3
6
0
x
Controllable set
K1 (X , ) = Q() X
Stabilisable set
S1 (X , ) = Q() X
Introduction
i-steps sets
Set Invariance
17

Example
Some comments
Example
3
S1
K1
K2
3
6
S2
x2
0
x1
Controllable set
K2 (X , ) = Q(K1 ) X
3
6
0
x
Stabilisable set
S2 (X , ) = Q(S1 ) X
Set Invariance
18
Introduction
i-steps sets

Example
Some comments
Example
3
S3
S1
K1
2
3
6
S2
x2
K2
0
x
K3
3
6
0
x
Controllable set
K3 (X , ) = Q(K2 ) X
Stabilisable set
S3 (X , ) = Q(S2 ) X
Introduction
i-steps sets
Set Invariance
19

Example
Some comments
Example
3
S2
S1
K1
2
3
6
S3
x2
S4
0
x1
K2
K3
K4
4
3
6
0
x
Controllable set
Ki+1 (X , ) = Q(Ki ) X
Stabilisable set
Si+1 (X , ) = Q(Si ) X
Ki (X , ) Ki+1 X
Si (X , ) Si+1 X
Set Invariance
20
Introduction
i-steps sets

Example
Some comments
Example
3
S9 = S10= S
x2
K1
2
3
6
0
x1
K2
K3
K4
4
3
6
0
x
Controllable set
Ki+1 (X , ) = Q(Ki ) X
Stabilisable set
Si+1 (X , ) = Q(Si ) X
Ki (X , ) Ki+1 X
Si (X , ) Si+1 X
S finitely determined iff
Si (X , ) = Si+1 X
Introduction
i-steps sets
Set Invariance
21

Example
Some comments
Comments
The difference between the controllable set and the stabilisable
set is the fact that the set is an invariant set. This difference is
very important in relation to the concept of stability: if
x0 Si (X , ), then there exists a control sequence such that the
system is driven to , and there exist a control law such that the
system remains inside . If is not invariant, then the system
might evolve outside , hence loosing stability.
S (X , ) C (X ). Hence, x0 C (X ) \ Si (X , ), there exists
an admissible control law such that the system fulfills the
constraints, but there not exists a control law that drives the
system to .
Set {0} is an invariant set. Then, the set of states that
asymptotically stabilize the system at the origin in i steps is
given by Si (X , {0}).
Set Invariance
22
Introduction
i-steps sets
Robust positive control invariant set

xk +1 = f (xk , uk, wk ), xk X , uk U, wk W
xk Rn , uk Rm , wk Rq .
Definition (Robust positive control invariant set)
Rn is a robust positive control invariant set if x0 X ,
there exists a control law uk = h(xk ) such that xk , for all
k 0 and wk W, and uk = h(xk ) U.
Set Invariance
23
Introduction
i-steps sets
Robust one step set

Definition (Robust one step set)
The set Q()

is the set of states in Rn for which an admissible
control inputs exists which will guarantee that the system will be
driven to in one step, for any w W:
Q()
= {xk Rn |uk U : f (xk , uk , wk ) wk W}
h () = {xk Rn : f (xk , h(xk ), wk ) wk W}
Q
Set Invariance
24
Introduction
i-steps sets
Properties
Monotonicity: consider sets 1 2 , then:
2)
1 ) Q(
Q(
The one step set definition allow us to define a condition for
guaranteing the invariance of a set.
Geometric robust invariance condition: set is a control
invariant set if and only if
Q()
Set Invariance
25
Introduction
i-steps sets
Robust reach set

Definition (Robust reach set)
The set R()

is the set of states in Rn to which the system will
evolve at the next time step given any xk , any wk W and
admissible control input:
R()
= {z Rn : xk , uk U, wk Ws.t.z = f (xk , uk , wk )}
h () is the set of states in Rn to

For closed-loop systems, R
which the system will evolve at the next time step given any
xk and any wk W:
h () = {z Rn : xk , wk Ws.t.z = f (xk , h(xk ), wk )}
R
Set Invariance
26
Introduction
i-steps sets
i-steps robust controllable set

Definition
The i-steps robust controllable set Ki (X , ) is the set of states
for which exists an admissible control sequence such that the
system reaches the set X in exactly i steps, with an
admissible evolution, for any wk W.
i (X , ) = {x0 X : k = 0, ..., i 1, uk Us.t.xk Xandxi wk W}
K
This set represents the set of all states that can reach a given
set in i steps, with an admissible evolution and an admissible
control sequence.
Set Invariance
27
Introduction
i-steps sets
Maximal robust control invariant set

Definition
(X ) is the maximal control invariant set contained in
The set C
X for system xk +1 = f (xk , uk , wk ) if and only if C (X ) is a

robust control invariant set and contains all the robust invariant
sets contained in X .
(X ) X
C
This set is derived from the definition of the i-steps robust
i (X ), that is the set of states for which exists
admissible set, C
an admissible control sequence such that the evolution of the
system remains in X during the next i steps, for any wk W.
i (X ) = {x0 X : uk Us.t.xk +1 X , wk W, k = 0, ..., i 1}
C
Set Invariance
28
Introduction
i-steps sets
Maximal robust stabilisable set

Definition
(X , ) is the maximal robust stabilisable invariant
The set S
set contained in X for system xk +1 = f (xk , uk , wk ) if and only if

(X , ) is the union of all i-step stabilisable sets contained in
S
X , for any wk W.
This set is derived from the definition of the i-steps robust
i (X , ), that is the set of states for which
stabilisable set, S
exists an admissible control sequence that drive the system to
the invariant set in i steps with an admissible evolution.
i (X , ) = {x0 X : k = 0, ..., i1, uk Us.t.xk Xandxi wk W}
S
All the properties of the nominal invariant sets are applicable to

the robust case.
Set Invariance
29
Introduction
i-steps sets
Bibliography
F. Blanchini. Set invariance in control. Automatica.

35:1747-1767, 1999.
E. Kerrigan. Robust Constrained Satisfaction: Invariant
Sets and Predictive Control. PhD Dissertation.
Set Invariance
30

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Introduction

Set invariance theory

Department of Automatic Control & Systems Engineering

HYCON-EECI Graduate School on Control

Limon, Ferramosca, Camacho

Set invariance theory

Robust invariant sets

Set invariance is a fundamental concept in design of

Limon, Ferramosca, Camacho

Positive invariant set

Positive control invariant set

Limon, Ferramosca, Camacho

One step set

One step set

One step set

One step set

Limon, Ferramosca, Camacho

One step set

Geometric invariance condition

Limon, Ferramosca, Camacho

One step set

The reach set

i-steps controllable set

i-steps controllable set

i-steps controllable set

where X h = {x X : h(x) U}.

i-steps controllable set

Maximal Control invariant set

i-steps controllable set

i-steps controllable set

Maximal stabilisable set

i-steps controllable set

where X h = {x X : h(x) U}.

i-steps controllable set

Limon, Ferramosca, Camacho

i-steps controllable set

Limon, Ferramosca, Camacho

i-steps controllable set

Limon, Ferramosca, Camacho

i-steps controllable set

Limon, Ferramosca, Camacho

i-steps controllable set

Limon, Ferramosca, Camacho

i-steps controllable set

Robust positive control invariant set

Limon, Ferramosca, Camacho

Robust one step set

The set Q()

Limon, Ferramosca, Camacho

Limon, Ferramosca, Camacho

Robust reach set

The set R()

h () is the set of states in Rn to

i-steps robust controllable set

Maximal robust control invariant set

X for system xk +1 = f (xk , uk , wk ) if and only if C (X ) is a

Maximal robust stabilisable set

set contained in X for system xk +1 = f (xk , uk , wk ) if and only if

All the properties of the nominal invariant sets are applicable to

F. Blanchini. Set invariance in control. Automatica.

Limon, Ferramosca, Camacho

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