Optimization and Systems Theory Seminar
Friday, March 17, 2000, 11.00-12.00, Room 3721, Lindstedtsv. 25

Anders Hansson
Department of Signals, Sensors and Systems

A primal-dual interior-point method for robust optimal control of linear discrete-time systems

In this talk is described how to efficiently solve a robust optimal control problem using recently developed primal-dual interior-point methods. Among potential applications are model predictive control. The optimization problem considered consists of a worst case quadratic performance criterion over a finite set of linear discrete-time models subject to inequality constraints on the states and control signals. The scheme has been prototyped in Matlab. To give a rough idea of the efficiencies obtained, it is possible to solve problems with more than 10000 primal variables and 40000 constraints on a workstation. The key to the efficient implementation is an iterative solver in conjunction with a Riccati-recursion invertible pre-conditioner for computing the search directions.
Calendar of seminars
Last update: January 12, 2000 by Anders Forsgren, anders.forsgren@math.kth.se.