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  4. Efficient Interior Point Methods for Multistage Problems Arising in Receding Horizon Control
 
conference paper

Efficient Interior Point Methods for Multistage Problems Arising in Receding Horizon Control

Domahidi, Alexander
•
Zgraggen, Aldo U.
•
Zeilinger, Melanie Nicole  
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2012
Proceedings of the 51st Conference on Decision and Control
2012 IEEE 51st IEEE Conference on Decision and Control (CDC)

Receding horizon control requires the solution of an optimization problem at every sampling instant. We present efficient interior point methods tailored to convex multistage problems, a problem class which most relevant MPC problems with linear dynamics can be cast in, and specify important algorithmic details required for a high speed implementation with superior numerical stability. In particular, the presented approach allows for quadratic constraints, which is not sup- ported by existing fast MPC solvers. A categorization of widely used MPC problem formulations into classes of different complexity is given, and we show how the computational burden of certain quadratic or linear constraints can be decreased by a low rank matrix forward substitution scheme. Implementation details are provided that are crucial to obtain high speed solvers. We present extensive numerical studies for the proposed methods and compare our solver to three well-known solver packages, outperforming the fastest of these by a factor 2-5 in speed and 3-70 in code size. Moreover, our solver is shown to be very efficient for large problem sizes and for quadratically constrained QPs, extending the set of systems amenable to advanced MPC formulations on low-cost embedded hardware.

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FORCES_CDC12_0548_FINAL.pdf

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Preprint

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http://purl.org/coar/version/c_71e4c1898caa6e32

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