Rolling horizon stochastic policy optimization with application to the treatment of type-1 diabetes mellitus

Abstract

Recent work on Model Predictive Control has refocused attention on the role of future disturbance uncertainty. One way of dealing with this issue is to use policy rather than sequence optimization. However, this comes at a significant increase in computational burden. In this talk we will outline strategies for dealing with the computational issue, including using quantized scenarios to represent the future disturbances. The related issue of providing performance guarantees in the face of high uncertainty will also be discussed. The ideas will be illustrated by the development of a new treatment strategy for Type 1 diabetes mellitus.