Imperial College London
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ProfessorEricKerrigan

Faculty of Engineering, Department of Electrical and Electronic Engineering

Professor of Control and Optimization
 
 
 
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Contact

 

+44 (0)20 7594 6343e.kerrigan Website

 
 
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Assistant

 

Mrs Raluca Reynolds +44 (0)20 7594 6281

 
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Location

 

1114Electrical EngineeringSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{McInerney:2023:10.1109/TAC.2022.3145657,
author = {McInerney, I and Kerrigan, E and Constantinides, G},
doi = {10.1109/TAC.2022.3145657},
journal = {IEEE Transactions on Automatic Control},
pages = {580--587},
title = {Horizon-independent preconditioner design for linear predictive control},
url = {http://dx.doi.org/10.1109/TAC.2022.3145657},
volume = {68},
year = {2023}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - First-order optimization solvers, such as the Fast Gradient Method, are increasingly being used to solve Model Predictive Control problems in resource-constrained environments. Unfortunately, the convergence rate of these solvers is significantly affected by the conditioning of the problem data, with ill-conditioned problems requiring a large number of iterations. To reduce the number of iterations required, we present a simple method for computing a horizon-independent preconditioning matrix for the Hessian of the condensed problem. The preconditioner is based on the block Toeplitz structure of the Hessian. Horizon-independence allows one to use only the predicted system and cost matrices to compute the preconditioner, instead of the full Hessian. The proposed preconditioner has equivalent performance to an optimal preconditioner in numerical examples, producing speedups between 2x and 9x for the Fast Gradient Method. Additionally, we derive horizon-independent spectral bounds for the Hessian in terms of the transfer function of the predicted system, and show how these can be used to compute a novel horizon-independent bound on the condition number for the preconditioned Hessian.
AU  - McInerney,I
AU  - Kerrigan,E
AU  - Constantinides,G
DO  - 10.1109/TAC.2022.3145657
EP  - 587
PY  - 2023///
SN  - 0018-9286
SP  - 580
TI  - Horizon-independent preconditioner design for linear predictive control
T2  - IEEE Transactions on Automatic Control
UR  - http://dx.doi.org/10.1109/TAC.2022.3145657
UR  - http://arxiv.org/abs/2010.08572v1
UR  - https://ieeexplore.ieee.org/document/9691890
UR  - http://hdl.handle.net/10044/1/94515
VL  - 68
ER  -
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