Approximate inverses in preconditioned fast dual gradient methods for MPC. Issue 1 (July 2017)

• Record Type: Journal Article
• Authors: Klintberg, Emil; Gros, Sebastien
• Is Part Of: IFAC-PapersOnLine. Volume 50:Issue 1(2017)
• Page Start: 5901
• Page End: 5906
• Publication Date: 2017-07
• Subjects: Model predictive control -- Optimization methods -- Embedded optimization -- Fast gradient methods -- Approximate inverses; Automatic control -- Periodicals; 629.805
• DOI: 10.1016/j.ifacol.2017.08.1321
• Languages: English
• ISSNs: 2405-8963

Abstract

Abstract: This paper considers the usage of approximate inverses in a preconditioned fast dual proximal gradient method for Model Predictive Control (MPC). We show that for a dualization of the dynamic constraints, the dense preconditioner is an exponentially off-diagonally decaying matrix. By approximating the preconditioner by a banded matrix, the computational cost per iteration can be decreased, while early numerical tests indicate that the number of iterations is almost unaffected in cases where the off-diagonal decay is rapid.