A primal-dual interior-point linear programming algorithm for MPC

Author

Edlund, Kristian ; Sokoler, Leo Emil ; Jrgensen, J.B.

Author_Institution

Dept. of Math. Modeling, Tech. Univ. of Denmark, Lyngby, Denmark

fYear

2009

fDate

15-18 Dec. 2009

Firstpage

351

Lastpage

356

Abstract

Constrained optimal control problems for linear systems with linear constraints and an objective function consisting of linear and l1-norm terms can be expressed as linear programs. We develop an efficient primal-dual interior point algorithm for solution of such linear programs. The algorithm is implemented in Matlab and its performance is compared to an active set based LP solver and linprog in Matlab´s optimization toolbox. Simulations demonstrate that the new algorithm is more than one magnitude faster than the other LP algorithms applied to this problem.

Keywords

constraint theory; linear programming; linear systems; optimisation; predictive control; LP algorithms; LP solver; MPC; Matlab optimization toolbox; constrained optimal control problems; linear constraints; linear programs; linear systems; linprog; model predictive control; primal-dual interior point algorithm; primal-dual interior-point linear programming algorithm; Cost function; Economic forecasting; Linear programming; Optimal control; Portfolios; Power generation; Power generation economics; Predictive control; Predictive models; Wind energy generation;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. Proceedings of the 48th IEEE Conference on

Conference_Location

Shanghai

ISSN

0191-2216

Print_ISBN

978-1-4244-3871-6

Electronic_ISBN

0191-2216

Type

conf

DOI

10.1109/CDC.2009.5400440

Filename

5400440