In this paper, we present a warm-started homogenous and self-dual interior-point method (IPM) for the linear programs arising in economic model predictive control (MPC) of linear systems. To exploit the structure in the optimization problems, our algorithm utilizes a Riccati iteration procedure which is adapted to the non-standard system solved in homogenous and self-dual IPMs, and specifically tailored to economic MPC. Fast convergence is further achieved by means of a recent warm-starting strategy for homogenous and self-dual IPMs that has not previously been applied to MPC. We implement our algorithm in MATLAB and its performance is analyzed based on a smart grid power management case study. Closed loop simulations show that 1) our algorithm is significantly faster than state-of-the-art IPMs based on sparse linear algebra routines, and 2) warm-starting reduces the number of iterations by approximately 15-35%.
|Title of host publication||52nd IEEE Conference on Decision and Control|
|Publication status||Published - 2013|
|Event||52nd IEEE Conference on Decision and Control (CDC 2013) - Congress Centre Firenze, Florence, Italy|
Duration: 10 Dec 2013 → 13 Dec 2013
|Conference||52nd IEEE Conference on Decision and Control (CDC 2013)|
|Location||Congress Centre Firenze|
|Period||10/12/2013 → 13/12/2013|