In this paper, we present performance estimates for stochastic economic MPC schemes with risk-averse cost formulations. For MPC algorithms with costs given by the expectation of stage cost evaluated in random variables, it was recently shown that the guaranteed near-optimal performance of abstract MPC in random variables coincides with its implementable variant coincide using measure path-wise feedback. In general, this property does not extend to costs formulated in terms of risk measures. However, through a turnpike-based analysis, this paper demonstrates that for a particular class of risk measures, this result can still be leveraged to formulate an implementable risk-averse MPC scheme, resulting in near-optimal averaged performance.
@article{arxiv.2504.00701,
title = {Towards turnpike-based performance analysis of risk-averse stochastic predictive control},
author = {Jonas Schießl and Ruchuan Ou and Michael H. Baumann and Timm Faulwasser and Lars Grüne},
journal= {arXiv preprint arXiv:2504.00701},
year = {2025}
}