A Primal-Dual Interior Point-Linear Programming Algorithm for MPC

Kristian Edlund; Leo Emil Sokoler; John Bagterp Jørgensen

doi:10.1109/CDC.2009.5400440

A Primal-Dual Interior Point-Linear Programming Algorithm for MPC

Kristian Edlund
, Leo Emil Sokoler
, John Bagterp Jørgensen

Ørsted A/S

Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

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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.

Original language	English
Title of host publication	Proceedings of the 48th IEEE Conference on Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009
Publisher	IEEE
Publication date	2009
Pages	351-356
ISBN (Print)	978-1-4244-3871-6
DOIs	https://doi.org/10.1109/CDC.2009.5400440
Publication status	Published - 2009
Event	48th IEEE Conference on Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference - Shanghai, China Duration: 16 Dec 2009 → 18 Dec 2009 http://www.ieeecss.org/CAB/conferences/cdc2009/index.php

Conference

Conference	48th IEEE Conference on Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference
Country/Territory	China
City	Shanghai
Period	16/12/2009 → 18/12/2009
Internet address	http://www.ieeecss.org/CAB/conferences/cdc2009/index.php

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Copyright 2009 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.

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title = "A Primal-Dual Interior Point-Linear Programming Algorithm for MPC",

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.",

author = "Kristian Edlund and Sokoler, \{Leo Emil\} and J{\o}rgensen, \{John Bagterp\}",

note = "Copyright 2009 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.; 48th IEEE Conference on Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference, CDC/CCC 2009 ; Conference date: 16-12-2009 Through 18-12-2009",

year = "2009",

doi = "10.1109/CDC.2009.5400440",

language = "English",

isbn = "978-1-4244-3871-6",

pages = "351--356",

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

publisher = "IEEE",

address = "United States",

url = "http://www.ieeecss.org/CAB/conferences/cdc2009/index.php",

}

Edlund, K, Sokoler, LE & Jørgensen, JB 2009, A Primal-Dual Interior Point-Linear Programming Algorithm for MPC. in Proceedings of the 48th IEEE Conference on Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. IEEE, pp. 351-356, 48th IEEE Conference on Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference, Shanghai, China, 16/12/2009. https://doi.org/10.1109/CDC.2009.5400440

A Primal-Dual Interior Point-Linear Programming Algorithm for MPC. / Edlund, Kristian; Sokoler, Leo Emil; Jørgensen, John Bagterp.
Proceedings of the 48th IEEE Conference on Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference. CDC/CCC 2009. IEEE, 2009. p. 351-356.

Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

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AU - Edlund, Kristian

AU - Sokoler, Leo Emil

AU - Jørgensen, John Bagterp

N1 - Copyright 2009 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.

PY - 2009

Y1 - 2009

N2 - 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.

AB - 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.

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DO - 10.1109/CDC.2009.5400440

M3 - Article in proceedings

SN - 978-1-4244-3871-6

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EP - 356

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

PB - IEEE

T2 - 48th IEEE Conference on Decision and Control, 2009 held jointly with the 2009 28th Chinese Control Conference

Y2 - 16 December 2009 through 18 December 2009

ER -

A Primal-Dual Interior Point-Linear Programming Algorithm for MPC

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