Article ID: | iaor20071449 |
Country: | Netherlands |
Volume: | 35 |
Issue: | 1 |
Start Page Number: | 87 |
End Page Number: | 108 |
Publication Date: | Sep 2006 |
Journal: | Computational Optimization and Applications |
Authors: | Filippi Carlo, Bemporad Alberto |
Keywords: | heuristics |
For multiparametric convex nonlinear programming problems we propose a recursive algorithm for approximating, within a given suboptimality tolerance, the value function and an optimizer as functions of the parameters. The approximate solution is expressed as a piecewise affine function over a simplicial partition of a subset of the feasible parameters, and it is organized over a tree structure for efficiency of evaluation. Adaptations of the algorithm to deal with multiparametric semidefinite programming and multiparametric geometric programming are provided and exemplified. The approach is relevant for real-time implementation of several optimization-based feedback control strategies.