Parallel Implementation of Riccati Recursion for Solving Linear-Quadratic Control Problems

Gianluca Frison, John Bagterp Jørgensen

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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 usually the main computational effort. In this paper an alternative version of the Riccati recursion solver for LQ control problems is presented. The performance of both the classical and the alternative version is analyzed from a theoretical as well as a numerical point of view, and the alternative version is found to be approximately 50% faster than the classical one, for systems with many states. A number of parallel implementations of the alternative version has been proposed and tested.
Original languageEnglish
Title of host publicationProceedings of the 18th Nordic Process Control Workshop
Number of pages6
Publication date2013
Publication statusPublished - 2013
Event18th Nordic Process Control Workshop - University of Oulu, Oulu, Finland
Duration: 22 Aug 201323 Aug 2013
http://www.oulu.fi/npcw2013/

Conference

Conference18th Nordic Process Control Workshop
LocationUniversity of Oulu
CountryFinland
CityOulu
Period22/08/201323/08/2013
Internet address

Keywords

  • Riccati recursion
  • LQ control problem
  • Parallel computation

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