A high-performance Riccati based solver for tree-structured quadratic programs

Research output: Contribution to journalConference article – Annual report year: 2017Researchpeer-review

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A high-performance Riccati based solver for tree-structured quadratic programs. / Frison, Gianluca; Kouzoupis, Dimitris; Diehl, Moritz; Jørgensen, John Bagterp.

In: IFAC-PapersOnLine, Vol. 50, No. 1, 2017, p. 14399-14405.

Research output: Contribution to journalConference article – Annual report year: 2017Researchpeer-review

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@inproceedings{272c74af91e4426fa8f9b3134c90a66b,
title = "A high-performance Riccati based solver for tree-structured quadratic programs",
abstract = "Robust multi-stage Model Predictive Control (MPC) is an increasingly popular approach to handle model uncertainties due to the simplicity of its problem formulation and other attractive properties. However, the exponential growth of the problem dimensions with respect to the robust horizon renders the online solution of such problems challenging and the development of tailored solvers crucial. In this paper, an interior point method is presented that can solve Quadratic Programs (QPs) arising in multi-stage MPC efficiently by means of a tree-structured Riccati recursion and a high-performance linear algebra library. A performance comparison with code-generated and general purpose sparse QP solvers shows that the computation times can be significantly reduced for all problem sizes that are practically relevant in embedded MPC applications. The presented implementation is freely available as part of the open-source software HPMPC.",
keywords = "Predictive control, Quadratic programming, Tree structures, Numerical methods",
author = "Gianluca Frison and Dimitris Kouzoupis and Moritz Diehl and J{\o}rgensen, {John Bagterp}",
year = "2017",
doi = "10.1016/j.ifacol.2017.08.2027",
language = "English",
volume = "50",
pages = "14399--14405",
journal = "IFAC-PapersOnLine",
issn = "2405-8963",
publisher = "Elsevier",
number = "1",

}

RIS

TY - GEN

T1 - A high-performance Riccati based solver for tree-structured quadratic programs

AU - Frison, Gianluca

AU - Kouzoupis, Dimitris

AU - Diehl, Moritz

AU - Jørgensen, John Bagterp

PY - 2017

Y1 - 2017

N2 - Robust multi-stage Model Predictive Control (MPC) is an increasingly popular approach to handle model uncertainties due to the simplicity of its problem formulation and other attractive properties. However, the exponential growth of the problem dimensions with respect to the robust horizon renders the online solution of such problems challenging and the development of tailored solvers crucial. In this paper, an interior point method is presented that can solve Quadratic Programs (QPs) arising in multi-stage MPC efficiently by means of a tree-structured Riccati recursion and a high-performance linear algebra library. A performance comparison with code-generated and general purpose sparse QP solvers shows that the computation times can be significantly reduced for all problem sizes that are practically relevant in embedded MPC applications. The presented implementation is freely available as part of the open-source software HPMPC.

AB - Robust multi-stage Model Predictive Control (MPC) is an increasingly popular approach to handle model uncertainties due to the simplicity of its problem formulation and other attractive properties. However, the exponential growth of the problem dimensions with respect to the robust horizon renders the online solution of such problems challenging and the development of tailored solvers crucial. In this paper, an interior point method is presented that can solve Quadratic Programs (QPs) arising in multi-stage MPC efficiently by means of a tree-structured Riccati recursion and a high-performance linear algebra library. A performance comparison with code-generated and general purpose sparse QP solvers shows that the computation times can be significantly reduced for all problem sizes that are practically relevant in embedded MPC applications. The presented implementation is freely available as part of the open-source software HPMPC.

KW - Predictive control

KW - Quadratic programming

KW - Tree structures

KW - Numerical methods

U2 - 10.1016/j.ifacol.2017.08.2027

DO - 10.1016/j.ifacol.2017.08.2027

M3 - Conference article

VL - 50

SP - 14399

EP - 14405

JO - IFAC-PapersOnLine

JF - IFAC-PapersOnLine

SN - 2405-8963

IS - 1

ER -