Application of Interior-Point Methods to Model Predictive Control

C. V. Rao, S. J. Wright and J. B. Rawlings
Additional contact information
C. V. Rao: University of Wisconsin
S. J. Wright: Argonne National Laboratory
J. B. Rawlings: University of Wisconsin

Journal of Optimization Theory and Applications, 1998, vol. 99, issue 3, No 7, 723-757

Abstract: 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.

Keywords: Model predictive control; interior-point methods; Riccati equation (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (6)

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DOI: 10.1023/A:1021711402723

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