Application of interior-point methods to model predictive control

C. V. Rao, S. J. Wright, J. B. Rawlings

Research output: Contribution to journalArticlepeer-review

Abstract

We present a structured interior-point method for the efficient solution of the optimal control problem in model predictive control. The cost of this approach is linear in the horizon length, compared with cubic growth for a naive approach. We use a discrete-time Riccati recursion to solve the linear equations efficiently at each iteration of the interior-point method, and show that this recursion is numerically stable. We demonstrate the effectiveness of the approach by applying it to three process control problems.

Original languageEnglish (US)
Pages (from-to)723-757
Number of pages35
JournalJournal of Optimization Theory and Applications
Volume99
Issue number3
DOIs
StatePublished - Dec 1998

Keywords

  • Model predictive control
  • Riccati equation
  • interior-point methods

ASJC Scopus subject areas

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

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