Computationally Efficient Data Generation for Learning Nonlinear MPC Policies

Abstract

Learning MPC requires large datasets generated by repeatedly solving MPC problems. For Nonlinear MPC (NMPC), dataset generation is computationally expensive because feasible initial states are difficult to sample efficiently. The feasible set is often non-convex or even disconnected, and many randomly sampled states are infeasible, leading to wasted optimization solves and unnecessary computational effort. In this work, we propose a data-generation framework for learning NMPC policies that combines active-set exploration with projection-based sampling. First, a bilevel formulation samples activity weights to promote solutions associated with different active sets while preserving optimality for the original NMPC problem; second, a simpler slack-based formulation uses weighted slack variables to target different active sets at the single level. These reference solutions are then used to construct local linearized feasible sets, from which candidate initial states are sampled and projected through the nonlinear NMPC problem to recover feasible and locally optimal training samples. Our approach is up to $37\times$ faster than baseline uniform sampling with $99\%$ acceptance rate, while maintaining a representative coverage of the feasible set.