  We propose an approach to design a Model Predictive Controller (MPC) for
constrained Linear Time Invariant systems performing an iterative task. The
system is subject to an additive disturbance, and the goal is to learn to
satisfy state and input constraints robustly. Using disturbance measurements
after each iteration, we construct Confidence Support sets, which contain the
true support of the disturbance distribution with a given probability. As more
data is collected, the Confidence Supports converge to the true support of the
disturbance. This enables design of an MPC controller that avoids conservative
estimate of the disturbance support, while simultaneously bounding the
probability of constraint violation. The efficacy of the proposed approach is
then demonstrated with a detailed numerical example.
