Application of Interior-Point Methods to Model Predictive Control.pdfVIP

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS : Vol. 99, No. 3. pp. 723 757, DECEMBER 1998 Application of Interior-Point Methods to Model Predictive Control1 C. V. RAO,2 S. J. WRIGHT,3 AND J. B. RAWLINGS4 Communicated by D. Q. Mayne Abstract. We present a structured interior-point method for the effi- cient solution of the optimal control problem in model predictive con- trol. The cost of this approach is linear in the horizon length, compared with cubic growth for a naive approach. We use a discrete-time Riccati recursion to solve the linear equations efficiently at each iteration of the interior-point method, and show that this recursion is numerically stable. We demonstrate the effectiveness of the approach by applying it to three process control problems. Key Words. Model predictive control, interior-point methods, Riccati equation. 1. Introduction Model predictive control MPC is an optimal control-based strategy that uses a plant model to predict the effect of an input profile on the evolving state of the plant . At each step of MPC, an optimal control problem with Bolza objectives is solved and its optimal input profile is implemented until another plant measurement becomes available. The updated plant 1This work was supported by the Mathematical, Information , and Computational Sciences Division subprogram of the Office of Computational and Technology Research, U.S. Depart- ment of Energy, under Contract W-31-l09-Eng-38, and a grant from Aspen Technology. We acknowledge the support of the industrial members of the Texas-Wisconsin Modeling and Control Consortium. We are grateful to three referees of the original version of this paper, whose insightful comments improved the paper considerably. 2Research Assistant, Department of Chemical Engineering, Univ