Ahead of Print article · Journal article
A Homogeneous and Self-Dual Interior-Point Linear Programming Algorithm for Economic Model Predictive Control
Department of Applied Mathematics and Computer Science, Technical University of Denmark1
Scientific Computing, Department of Applied Mathematics and Computer Science, Technical University of Denmark2
Ørsted A/S3
Dynamical Systems, Department of Applied Mathematics and Computer Science, Technical University of Denmark4
Center for Energy Resources Engineering, Centers, Technical University of Denmark5
CITIES - Centre for IT-Intelligent Energy Systems, Centers, Technical University of Denmark6
We develop an efficient homogeneous and self-dual interior-point method (IPM) for the linear programs arising in economic model predictive control of constrained linear systems with linear objective functions. The algorithm is based on a Riccati iteration procedure, which is adapted to the linear system of equations solved in homogeneous and self-dual IPMs.
Fast convergence is further achieved using a warm-start strategy. We implement the algorithm in MATLAB and C. Its performance is tested using a conceptual power management case study. Closed loop simulations show that 1) the proposed algorithm is significantly faster than several state-of-the-art IPMs based on sparse linear algebra, and 2) warm-start reduces the average number of iterations by 35-40%.
| Language: | English |
|---|---|
| Publisher: | IEEE |
| Year: | 2015 |
| Pages: | 1-1 |
| ISSN: | 23343303 , 00189286 and 15582523 |
| Types: | Ahead of Print article and Journal article |
| DOI: | 10.1109/TAC.2015.2495558 |
| ORCIDs: | Halvgaard, Rasmus Fogtmann and Jørgensen, John Bagterp |
Energy systems Linear programming algorithms Optimization algorithms Predictive control for linear systems Riccati iterations
C language Linear programming Linear systems MATLAB Mathematical model Noise Prediction algorithms Production Riccati equations Riccati iteration procedure closed loop simulations closed loop systems conceptual power management constrained linear systems economic model predictive control homogeneous IPMs homogeneous interior-point linear programming algorithm iterative methods linear algebra linear objective functions linear programming linear systems optimization algorithms power system management predictive control predictive control for linear systems self-dual IPMs self-dual interior-point linear programming algorithm sparse linear algebra warm-start strategy
