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Numerical Methods for Solution of the Extended Linear Quadratic Control Problem

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Authors:
  • Jørgensen, John Bagterp ;
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    Orcid logo0000-0001-9799-2808
    Center for Energy Resources Engineering, Technical University of Denmark
  • Frison, Gianluca ;
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    Department of Applied Mathematics and Computer Science, Technical University of Denmark
  • Gade-Nielsen, Nicolai Fog ;
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    Department of Informatics and Mathematical Modeling, Technical University of Denmark
  • Dammann, Bernd
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    Orcid logo0000-0003-4349-6803
    Department of Informatics and Mathematical Modeling, Technical University of Denmark
DOI:
10.3182/20120823-5-NL-3013.00092
Abstract:
In this paper we present the extended linear quadratic control problem, its efficient solution, and a discussion of how it arises in the numerical solution of nonlinear model predictive control problems. The extended linear quadratic control problem is the optimal control problem corresponding to the Karush-Kuhn-Tucker system that constitute the majority of computational work in constrained nonlinear and linear model predictive control problems solved by efficient MPC-tailored interior-point and active-set algorithms. We state various methods of solving the extended linear quadratic control problem and discuss instances in which it arises. The methods discussed in the paper have been implemented in efficient C code for both CPUs and GPUs for a number of test examples.
ISBN:
9783902823076
Type:
Conference paper
Language:
English
Published in:
Nonlinear Model Predictive Control, 2012, p. 187-193
Main Research Area:
Science/technology
Series:
Ifac Proceedings Volumes (ifac-papersonline)
Conference:
4th IFAC Nonlinear Model Predictive Control Conference (NMPC 2012)
Publisher:
International Federation of Automatic Control
Submission year:
2012
ID:
230887219

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