1 Department of Applied Mathematics and Computer Science, Technical University of Denmark2 Scientific Computing, Department of Applied Mathematics and Computer Science, Technical University of Denmark3 Center for Energy Resources Engineering, Center, Technical University of Denmark4 Department of Informatics and Mathematical Modeling, Technical University of Denmark5 Copenhagen Center for Health Technology, Center, Technical University of Denmark
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.
Proceedings of the 18th Nordic Process Control Workshop, 2013
Riccati recursion; LQ control problem; Parallel computation