In this paper we discuss distributional robustness in the context of stochastic model
predictive control (SMPC) for linear time-invariant systems. We derive a simple
approximation of the MPC problem under an additive zero-mean iid noise with quadratic
cost. Due to the lack of distributional information, chance constraints are enforced as
distributionally robust (DR) chance constraints, which we opt to unify with the concept of
probabilistic reachable sets (PRS). For Wasserstein ambiguity sets, we propose a simple …