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A Condensing Algorithm for Nonlinear MPC with a Quadratic Runtime in Horizon Length

Joel A E Andersson(joel.andersson***at***esat.kuleuven.be)
Janick V Frasch(janick.frasch***at***esat.kuleuven.be )
Milan Vukov(milan.vukov***at***esat.kuleuven.be )
Moritz Diehl(Moritz.Diehl***at***esat.kuleuven.be)

Abstract: A large number of practical algorithms for Optimal Control Problems (OCP) relies on a so-called condensing procedure to exploit the given structure in the quadratic programming (QP) subproblems. While the established structure-exploiting condensing algorithm is of cubic complexity in the horizon length, in this technical note we propose a novel algorithm that is only of quadratic complexity in horizon length. We present numerical results confirming that the proposed algorithm is faster in practice and discuss implications for related QP solution algorithms that rely on the elimination of the state sequence.

Keywords: Optimal control, model-predictive control, structured quadratic programming, condensing algorithm, fast-gradient methods

Category 1: Nonlinear Optimization (Quadratic Programming )

Category 2: Other Topics (Optimization of Simulated Systems )

Citation: Electrical Engineering Department (ESAT) and Optimization in Engineering Center (OPTEC), KU Leuven, Belgium (2013)

Download: [PDF]

Entry Submitted: 01/26/2017
Entry Accepted: 01/26/2017
Entry Last Modified: 01/26/2017

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