Adaptive Scenario Generation for Multistage NMPC with Shrinking Horizons

We present a multistage scheme for shrinking horizon nonlinear model predictive control (NMPC). This approach generates scenario trees on-line in an adaptive manner, and assembles them from predictions of worst-case uncertainty realizations through first-order approximations of the process model. A key result of this approach is that both size and complexity of the resultant optimal control problems do not scale directly with the number of uncertain model parameters. Moreover, we apply and demonstrate this approach on a challenging industrially-relevant semi-batch polymerization process under parametric model uncertainty. The results show that adaptive scenario generation leads to improved performance, while maintaining the attained level of robustness for the considered process.