A Constraint Homotopy Active Set Solver for Linear–Quadratic Optimal Control

作者：Johannes Buerger, Mark Cannon · 发表于：IEEE Transactions on Automatic Control · 年份：2024 · DOI：10.1109/tac.2024.3400356 · 被引用次数：5 · 研究领域：Advanced Control Systems Optimization、Advanced Optimization Algorithms Research、Optimization and Variational Analysis

An efficient optimization method is proposed for linear- quadratic optimal control problems with state and control constraints. We describe an active set solver that uses Riccati recursions to solve a sequence of equality-constrained subproblems. The main contribution is a homotopy method based on relaxing inequality constraints. This overcomes known shortcomings of Riccati active set solvers relating to their initialisation and their application to problems with time-varying model data. It can be used exclusively or in combination with established Riccati active set solvers. The efficiency is demonstrated in numerical examples against state-of-the-art quadratic programming solvers.