A dual Newton strategy for scenario decomposition in robust multistage MPC

• This paper considers the solution of tree-structured quadratic programs as they may arise in multistage model predictive control. In this context, sampling the uncertainty on prescribed decision points gives rise to different scenarios that are linked to each other via the so-called nonanticipativity constraints. Previous work suggests to dualize these constraints and apply Newton's method on the dual problem to achieve a parallelizable scheme. However, it has been observed that the globalization strategy in such an approach can be expensive. To alleviate this pro blem, we propose to dualize both the nonanticipativity constraints and the dynamics to obtain a computationally cheap globalization. The dual Newton system is then reformulated into small highly structured linear systems that can be solved in parallel to a large extent. The algorithm is complemented by an open-source software implementation that targets embedded optimal control applications.

Ämnesord

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Signalbehandling (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Signal Processing (hsv//eng)

NATURVETENSKAP  -- Data- och informationsvetenskap -- Datavetenskap (hsv//swe)

NATURAL SCIENCES  -- Computer and Information Sciences -- Computer Sciences (hsv//eng)

Nyckelord

dual decomposition

multistage MPC

robust control

quadratic programming

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