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Towards Computational Complexity Certification for Constrained MPC Based on Lagrange Relaxation and the Fast Gradient Method

Author(s):

S. Richter
Conference/Journal:

IEEE Conference on Decision and Control, Orlando, FL, USA
Abstract:

This paper discusses the certification of Nesterov's fast gradient method for problems with a strongly convex quadratic objective and a feasible set given as the intersection of a parametrized affine set and a convex set. For this, we derive a lower iteration bound for the solution of the dual problem that is obtained from a partial Lagrange Relaxation and propose a new constant step-size rule that we prove to be optimal under mild assumptions. Finally, we apply the certification procedure to a constrained MPC problem and show that the new step-size rule improves performance significantly.

Year:

2011
Type of Publication:

(06)Talk
Supervisor:

M. Morari

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