A dual Newton strategy for scenario decomposition in robust multistage MPC
Journal article, 2018

This paper considers the solution of tree-structured quadratic programs as they may arise in multistage model predictive control. In this context, sampling the uncertainty on prescribed decision points gives rise to different scenarios that are linked to each other via the so-called nonanticipativity constraints. Previous work suggests to dualize these constraints and apply Newton's method on the dual problem to achieve a parallelizable scheme. However, it has been observed that the globalization strategy in such an approach can be expensive. To alleviate this pro blem, we propose to dualize both the nonanticipativity constraints and the dynamics to obtain a computationally cheap globalization. The dual Newton system is then reformulated into small highly structured linear systems that can be solved in parallel to a large extent. The algorithm is complemented by an open-source software implementation that targets embedded optimal control applications.

dual decomposition

multistage MPC

robust control

quadratic programming

Author

D. Kouzoupis

University of Freiburg

Emil Klintberg

Qamcom Research & Technology

Moritz Diehl

University of Freiburg

Sébastien Gros

Chalmers, Electrical Engineering, Systems and control, Automatic Control

International Journal of Robust and Nonlinear Control

1049-8923 (ISSN) 1099-1239 (eISSN)

Vol. 28 6 2340-2355

Subject Categories

Control Engineering

Signal Processing

Computer Science

DOI

10.1002/rnc.4019

More information

Latest update

5/29/2018