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
KTH
E-mail: anders.hansson@s3.kth.se
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.