A warm-started homogeneous and self-dual interior-point method for linear economic model predictive control

In this paper, we present a warm-started homogenous and self-dual interior-point method (IPM) for the linear programs arising in economic model predictive control (MPC) of linear systems. To exploit the structure in the optimization problems, our algorithm utilizes a Riccati iteration procedure which is adapted to the non-standard system solved in homogenous and self-dual IPMs, and specifically tailored to economic MPC.

Fast convergence is further achieved by means of a recent warm-starting strategy for homogenous and self-dual IPMs that has not previously been applied to MPC. We implement our algorithm in MATLAB and its performance is analyzed based on a smart grid power management case study. Closed loop simulations show that 1) our algorithm is significantly faster than state-of-the-art IPMs based on sparse linear algebra routines, and 2) warm-starting reduces the number of iterations by approximately 15-35%.