Dual MPC for Active Learning of Nonparametric Uncertainties

This manuscript presents a dual model predictive controller (MPC) that balances the two objectives of dual control, namely, system identification and control. In particular, we propose a Gaussian process (GP)-based MPC that uses the posterior GP covariance for active learning. The dual MPC can steer the system towards states with high covariance, or to the setpoint, thereby balancing system identification and control performance (exploration vs. exploitation). We establish robust constraint satisfaction of the novel dual MPC through a contingency plan. We demonstrate the dual MPC in a numerical study of a nonlinear system with nonparametric uncertainties.