Approximate inverses in preconditioned fast dual gradient methods for MPC
Journal article, 2017

This paper considers the usage of approximate inverses in a preconditioned fast dual proximal gradient method for Model Predictive Control (MPC). We show that for a dualization of the dynamic constraints, the dense preconditioner is an exponentially off-diagonally decaying matrix. By approximating the preconditioner by a banded matrix, the computational cost per iteration can be decreased, while early numerical tests indicate that the number of iterations is almost unaffected in cases where the off-diagonal decay is rapid.

Author

Emil Klintberg

Chalmers, Signals and Systems, Systems and control, Automatic Control

Sébastien Gros

Chalmers, Signals and Systems, Systems and control, Automatic Control

IFAC-PapersOnLine

24058963 (eISSN)

Vol. 50 1 5901-5906

Areas of Advance

Information and Communication Technology

Subject Categories

Mathematics

DOI

10.1016/j.ifacol.2017.08.1321

More information

Created

10/8/2017