We develop an efficient homogeneous and self-dual interior-point method (IPM) for the linear programs arising in economic model predictive control of constrained linear systems with linear objective functions. The algorithm is based on a Riccati iteration procedure, which is adapted to the linear system of equations solved in homogeneous and self-dual IPMs. Fast convergence is further achieved using a warm-start strategy. We implement the algorithm in MATLAB and C. Its performance is tested using a conceptual power management case study. Closed loop simulations show that 1) the proposed algorithm is significantly faster than several state-of-the-art IPMs based on sparse linear algebra, and 2) warm-start reduces the average number of iterations by 35-40%.
- Optimization algorithms
- Linear programming algorithms
- Predictive control for linear systems
- Riccati iterations
- Energy systems
Sokoler, L. E., Frison, G., Skajaa, A., Halvgaard, R. F., & Jørgensen, J. B. (2015). A Homogeneous and Self-Dual Interior-Point Linear Programming Algorithm for Economic Model Predictive Control. I E E E Transactions on Automatic Control, PP(99). https://doi.org/10.1109/TAC.2015.2495558