Stochastic MPC under Heavy-Tailed Disturbances: An Extreme Value Theory Approach

Abstract

Safety-critical control systems must contend with disturbances whose extreme deviations occur far more frequently than classical light-tailed models predict. Existing stochastic MPC (SMPC) formulations tighten constraints using an assumed distribution, a moment bound, or a finite scenario sample, each of which degrades under an unknown heavy-tailed disturbance. This paper develops an SMPC formulation for linear systems under heavy-tailed disturbances that is only assumed to be regular varying, replacing these approaches with an explicit extreme value theory (EVT) characterization of the tube error tail that is asymptotically exact. We further show that closed-loop dynamics induce temporal clustering of rare excursions across the prediction horizon, and characterize this clustering through a closed-form extremal index estimable from data. The resulting $\theta$-corrected constraint bounds the probability of a rare-event episode over the horizon, rather than only the marginal per-step exceedance probability. Simulation on a nonlinear unicycle navigating past an obstacle under Student-$t$ disturbances validates both approaches and demonstrates reduced frequencies of safety constraint violations.