Application of interior-point methods to model predictive control

Application of interior-point methods to model predictive control

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Article ID: iaor19993048
Country: United States
Volume: 99
Issue: 3
Start Page Number: 723
End Page Number: 757
Publication Date: Dec 1998
Journal: Journal of Optimization Theory and Methods
Authors: , ,
Keywords: interior point methods
Abstract:

We present a structured interior-point method for the efficient solution of the optimal control problem in model predictive control. The cost of this approach is linear in the horizon length, compared with cubic growth for a naive approach. We use a discrete-time Riccati recursion to solve the linear equations efficiently at each iteration of the interior-point method, and show that this recursion is numerically stable. We demonstrate the effectiveness of the approach by applying it to three process control problems.

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