Efficient Implementation of the Riccati Recursion for Solving Linear-Quadratic Control Problems

Gianluca Frison, John Bagterp Jørgensen

Research output: Chapter in Book/Report/Conference proceedingArticle in proceedingsResearchpeer-review

Abstract

In both Active-Set (AS) and Interior-Point (IP) algorithms for Model Predictive Control (MPC), sub-problems in the form of linear-quadratic (LQ) control problems need to be solved at each iteration. The solution of these sub-problems is typically the main computational effort at each iteration. In this paper, we compare a number of solvers for an extended formulation of the LQ control problem: a Riccati recursion based solver can be considered the best choice for the general problem with dense matrices. Furthermore, we present a novel version of the Riccati solver, that makes use of the Cholesky factorization of the Pn matrices to reduce the number of flops. When combined with regularization and mixed precision, this algorithm can solve large instances of the LQ control problem up to 3 times faster than the classical Riccati solver.
Original languageEnglish
Title of host publication2013 IEEE Multi-conference on Systems and Control
PublisherIEEE
Publication date2013
Pages1117-1122
ISBN (Print)978-1-4799-1557-6
DOIs
Publication statusPublished - 2013
EventIEEE Multi-Conference on Systems and Control (MSC 2013) - Hyderabad, India
Duration: 28 Aug 201330 Aug 2013
http://msc2013.org/

Conference

ConferenceIEEE Multi-Conference on Systems and Control (MSC 2013)
CountryIndia
CityHyderabad
Period28/08/201330/08/2013
Internet address

Fingerprint Dive into the research topics of 'Efficient Implementation of the Riccati Recursion for Solving Linear-Quadratic Control Problems'. Together they form a unique fingerprint.

Cite this