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Exact Complexity Certification of an Early-Terminating Standard Primal Active-Set Method for Quadratic Programming
Linköpings universitet, Institutionen för systemteknik, Reglerteknik. Linköpings universitet, Tekniska fakulteten.
Linköpings universitet, Institutionen för systemteknik, Reglerteknik. Linköpings universitet, Tekniska fakulteten.ORCID-id: 0000-0001-6957-2603
2020 (Engelska)Ingår i: IFAC PAPERSONLINE, ELSEVIER , 2020, Vol. 53, nr 2, s. 6509-6515Konferensbidrag, Publicerat paper (Refereegranskat)
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.

Ort, förlag, år, upplaga, sidor
ELSEVIER , 2020. Vol. 53, nr 2, s. 6509-6515
Serie
IFAC-PapersOnLine, ISSN 2405-8971, E-ISSN 2405-8963
Nyckelord [en]
Quadratic programming; Active-set methods; Linear model predictive control; Suboptimal control; Complexity certification
Nationell ämneskategori
Datavetenskap (datalogi)
Identifikatorer
URN: urn:nbn:se:liu:diva-176901DOI: 10.1016/j.ifacol.2020.12.1802ISI: 000652593000339Scopus ID: 2-s2.0-85105074360OAI: oai:DiVA.org:liu-176901DiVA, id: diva2:1572658
Konferens
21st IFAC World Congress on Automatic Control - Meeting Societal Challenges, ELECTR NETWORK, jul 11-17, 2020
Anmärkning

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

Tillgänglig från: 2021-06-24 Skapad: 2021-06-24 Senast uppdaterad: 2025-08-28
Ingår i avhandling
1. On Complexity Certification of Active-Set QP Methods with Applications to Linear MPC
Öppna denna publikation i ny flik eller fönster >>On Complexity Certification of Active-Set QP Methods with Applications to Linear MPC
2021 (Engelska)Licentiatavhandling, sammanläggning (Övrigt vetenskapligt)
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). 

Ort, förlag, år, upplaga, sidor
Linköping: Linköping University Electronic Press, 2021. s. 45
Serie
Linköping Studies in Science and Technology. Licentiate Thesis, ISSN 0280-7971 ; 1901
Nationell ämneskategori
Reglerteknik
Identifikatorer
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 (Svenska)
Opponent
Handledare
Tillgänglig från: 2021-03-03 Skapad: 2021-03-03 Senast uppdaterad: 2022-09-22Bibliografiskt granskad

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Arnström, DanielAxehill, Daniel

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