A constraint homotopy active set solver for linear-quadratic optimal control
An efficient optimization method is proposed for linear- quadratic optimal control problems with state and control constraints. We describe an active set solver that uses Riccati recursions to solve a sequence of equality-constrained subproblems. The main contribution is a homotopy method based on r...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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IEEE
2024
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| _version_ | 1811139330548170752 |
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| author | Buerger, J Cannon, M |
| author_facet | Buerger, J Cannon, M |
| author_sort | Buerger, J |
| collection | OXFORD |
| description | An efficient optimization method is proposed for linear- quadratic optimal control problems with state and control constraints. We describe an active set solver that uses Riccati recursions to solve a sequence of equality-constrained subproblems. The main contribution is a homotopy method based on relaxing inequality constraints. This overcomes known shortcomings of Riccati active set solvers relating to their initialisation and their application to problems with time-varying model data. It can be used exclusively or in combination with established Riccati active set solvers. The efficiency is demonstrated in numerical examples against state-of-the-art quadratic programming solvers. |
| first_indexed | 2024-09-25T04:04:22Z |
| format | Journal article |
| id | oxford-uuid:ed87b60d-0741-4ed7-933c-87127d79ea05 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-09-25T04:04:22Z |
| publishDate | 2024 |
| publisher | IEEE |
| record_format | dspace |
| spelling | oxford-uuid:ed87b60d-0741-4ed7-933c-87127d79ea052024-05-16T10:44:58ZA constraint homotopy active set solver for linear-quadratic optimal controlJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:ed87b60d-0741-4ed7-933c-87127d79ea05EnglishSymplectic ElementsIEEE2024Buerger, JCannon, MAn efficient optimization method is proposed for linear- quadratic optimal control problems with state and control constraints. We describe an active set solver that uses Riccati recursions to solve a sequence of equality-constrained subproblems. The main contribution is a homotopy method based on relaxing inequality constraints. This overcomes known shortcomings of Riccati active set solvers relating to their initialisation and their application to problems with time-varying model data. It can be used exclusively or in combination with established Riccati active set solvers. The efficiency is demonstrated in numerical examples against state-of-the-art quadratic programming solvers. |
| spellingShingle | Buerger, J Cannon, M A constraint homotopy active set solver for linear-quadratic optimal control |
| title | A constraint homotopy active set solver for linear-quadratic optimal control |
| title_full | A constraint homotopy active set solver for linear-quadratic optimal control |
| title_fullStr | A constraint homotopy active set solver for linear-quadratic optimal control |
| title_full_unstemmed | A constraint homotopy active set solver for linear-quadratic optimal control |
| title_short | A constraint homotopy active set solver for linear-quadratic optimal control |
| title_sort | constraint homotopy active set solver for linear quadratic optimal control |
| work_keys_str_mv | AT buergerj aconstrainthomotopyactivesetsolverforlinearquadraticoptimalcontrol AT cannonm aconstrainthomotopyactivesetsolverforlinearquadraticoptimalcontrol AT buergerj constrainthomotopyactivesetsolverforlinearquadraticoptimalcontrol AT cannonm constrainthomotopyactivesetsolverforlinearquadraticoptimalcontrol |