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A New Hot-start Interior-point Method for Model Predictive Control

Author(s):

A. Shahzad, P.J. Goulart
Conference/Journal:

International Federation of Automatic Control World Congress
Abstract:

In typical model predictive control applications, a finite-horizon optimal control problem, in the form of a quadratic program (QP), must be solved at each sampling instant with a known initial state. We present a new hot-start strategy to solve such QPs using interior-point methods, where the first interior-point iterate is constructed from a backward time-shifting of the solution to the QP at the previous time-step. There are two difficulties with such a strategy. First, a naive backward shifting of a previous solution can yield an initial iterate on the boundary of the primal-dual feasible region, leading to blocking of the search direction and consequently to very small and inefficient interior-point steps. Second, a backward shifted solution does not provide a set of strictly feasible terminal KKT conditions. In order to address both of these issues, we propose a modification to the basic backward- shifting method which provides simultaneously an initial iterate that satisfies strict feasibility conditions and a strictly feasible set of primal and dual terminal decision variables. Numerical results indicate that the proposed technique yields convergence in fewer iterations than a cold- start interior-point method.

Year:

2011
Type of Publication:

(01)Article
Supervisor:



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% Autogenerated BibTeX entry
@InProceedings { ShaGou:2011:IFA_4082,
    author={A. Shahzad and P.J. Goulart},
    title={{A New Hot-start Interior-point Method for Model Predictive
	  Control}},
    booktitle={International Federation of Automatic Control World
	  Congress},
    pages={},
    year={2011},
    address={},
    month=aug,
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=4082}
}
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