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Exact Complexity Certification of an Early-Terminating Standard Primal Active-Set Method for Quadratic Programming
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.ORCID iD: 0000-0001-6957-2603
2020 (English)In: IFAC PAPERSONLINE, ELSEVIER , 2020, Vol. 53, no 2, p. 6509-6515Conference paper, Published paper (Refereed)
Abstract [en]

In this paper we present a method to exactly certify the iteration complexity of a primal active-set algorithm for quadratic programs which is terminated early, given a specific multi-parametric quadratic program. The primal active-set algorithms real-time applicability is, hence, improved by early termination, increasing its computational efficiency, and by the proposed certification method, providing guarantees on worst-case behaviour. The certification method is illustrated on a multi-parametric quadratic program originating from model predictive control of an inverted pendulum, for which the relationship between allowed suboptimality and iterations needed by the primal active-set algorithm is presented. Copyright (C) 2020 The Authors.

Place, publisher, year, edition, pages
ELSEVIER , 2020. Vol. 53, no 2, p. 6509-6515
Keywords [en]
Quadratic programming; Active-set methods; Linear model predictive control; Suboptimal control; Complexity certification
National Category
Computer Sciences
Identifiers
URN: urn:nbn:se:liu:diva-176901DOI: 10.1016/j.ifacol.2020.12.1802ISI: 000652593000339OAI: oai:DiVA.org:liu-176901DiVA, id: diva2:1572658
Conference
21st IFAC World Congress on Automatic Control - Meeting Societal Challenges, ELECTR NETWORK, jul 11-17, 2020
Note

Funding Agencies|Swedish Research Council (VR)Swedish Research Council [2017-04710]

Available from: 2021-06-24 Created: 2021-06-24 Last updated: 2022-09-22
In thesis
1. On Complexity Certification of Active-Set QP Methods with Applications to Linear MPC
Open this publication in new window or tab >>On Complexity Certification of Active-Set QP Methods with Applications to Linear MPC
2021 (English)Licentiate thesis, comprehensive summary (Other academic)
Abstract [en]

In model predictive control (MPC) an optimization problem has to be solved at each time step, which in real-time applications makes it important to solve these efficiently and to have good upper bounds on worst-case solution time. Often for linear MPC problems, the optimization problem in question is a quadratic program (QP) that depends on parameters such as system states and reference signals. A popular class of methods for solving such QPs is active-set methods, where a sequence of linear systems of equations is solved. 

The primary contribution of this thesis is a method which determines which sequence of subproblems a popular class of such active-set algorithms need to solve, for every possible QP instance that might arise from a given linear MPC problem (i.e, for every possible state and reference signal). By knowing these sequences, worst-case bounds on how many iterations, floating-point operations and, ultimately, the maximum solution time, these active-set algorithms require to compute a solution can be determined, which is of importance when, e.g, linear MPC is used in safety-critical applications. 

After establishing this complexity certification method, its applicability is extended by showing how it can be used indirectly to certify the complexity of another, efficient, type of active-set QP algorithm which reformulates the QP as a nonnegative least-squares method. 

Finally, the proposed complexity certification method is extended further to situations when enhancements to the active-set algorithms are used, namely, when they are terminated early (to save computations) and when outer proximal-point iterations are performed (to improve numerical stability). 

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2021. p. 45
Series
Linköping Studies in Science and Technology. Licentiate Thesis, ISSN 0280-7971 ; 1901
National Category
Control Engineering
Identifiers
urn:nbn:se:liu:diva-173716 (URN)10.3384/lic.diva-173716 (DOI)9789179296926 (ISBN)
Presentation
2021-03-26, Online via Zoom: https://liu-se.zoom.us/j/68041529531?pwd=b05sVVluNmI2RzZ2RkRqV1lib0RmZz09, 10:15 (Swedish)
Opponent
Supervisors
Available from: 2021-03-03 Created: 2021-03-03 Last updated: 2022-09-22Bibliographically approved

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