TR2018-120

Preconditioning of conjugate gradient iterations in interior point MPC method


    •  Malyshev, A., Quirynen, R., Knyazev, A., "Preconditioning of conjugate gradient iterations in interior point MPC method", IFAC Conference on Nonlinear Model Predictive Control (NMPC), DOI: 10.1016/​j.ifacol.2018.11.065, August 2018, vol. 51, pp. 394-399.
      BibTeX TR2018-120 PDF
      • @inproceedings{Malyshev2018aug,
      • author = {Malyshev, Alexander and Quirynen, Rien and Knyazev, Andrew},
      • title = {Preconditioning of conjugate gradient iterations in interior point MPC method},
      • booktitle = {IFAC Conference on Nonlinear Model Predictive Control (NMPC)},
      • year = 2018,
      • volume = 51,
      • number = 20,
      • pages = {394--399},
      • month = aug,
      • publisher = {Elsevier},
      • doi = {10.1016/j.ifacol.2018.11.065},
      • url = {https://www.merl.com/publications/TR2018-120}
      • }
  • MERL Contact:
  • Research Areas:

    Control, Dynamical Systems, Optimization

Abstract:

There are several efficient direct solvers for structured systems of linear equations defining search directions in primal-dual interior point methods applied to constrained model predictive control problems. We propose reusing matrix decompositions of direct solvers as preconditioners in Krylov-subspace methods applied to subsequent iterations of the interior point method, which results in at least halving its asymptotic computational complexity. We also analyze sensitivity of direct solvers to the regularization parameters.

 

  • Related News & Events

    •  NEWS   MERL Control and Dynamical Systems Group presented 8 papers at IFAC NMPC conference
      Date: August 19, 2018 - August 22, 2018
      Where: IFAC NMPC, Madison, WI
      MERL Contacts: Stefano Di Cairano; Rien Quirynen
      Research Area: Control
      Brief
      • The 6th IFAC Conference on Nonlinear Model Predictive Control (NMPC), http://www.nmpc2018.org/, is a highly focused conference that attracts experts in this area from around the world. Members of the Control and Dynamical Systems group presented 8 papers (out of the 149 at the conference!) Stefano Di Cairano delivered one of the 7 plenary lectures entitled "Contract-Based Design of Control Architectures by Model Predictive Control.".
    •