A Decomposition Algorithm for Feedback Min–Max Model Predictive Control

An algorithm for solving feedback min–max model predictive control for discrete-time uncertain linear systems with constraints is presented in this note. The algorithm is based on applying recursively a decomposition technique to solve the min–max problem via a sequence of low complexity linear programs. It is proved that the algorithm converges to the optimal solution in finite time. Simulation results are provided to compare the proposed algorithm with other approaches.