Solving the Infinite-Horizon Constrained LQR Problem Using Accelerated Dual Proximal Methods
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Publication:5282422
DOI10.1109/TAC.2016.2594381zbMATH Open1366.93331arXiv1501.04352OpenAlexW199335183MaRDI QIDQ5282422FDOQ5282422
Giorgos Stathopoulos, Milan Korda, Colin N. Jones
Publication date: 27 July 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Abstract: This work presents an algorithmic scheme for solving the infinite-time constrained linear quadratic regulation problem. We employ an accelerated version of a popular proximal gradient scheme, commonly known as the Forward-Backward Splitting (FBS), and prove its convergence to the optimal solution in our infinite-dimensional setting. Each iteration of the algorithm requires only finite memory, is computationally cheap, and makes no use of terminal invariant sets; hence, the algorithm can be applied to systems of very large dimensions. The acceleration brings in optimal convergence rates O(1/k^2) for function values and O(1/k) for primal iterates and renders the proposed method a practical alternative to model predictive control schemes for setpoint tracking. In addition, for the case when the true system is subject to disturbances or modelling errors, we propose an efficient warm-starting procedure, which significantly reduces the number of iterations when the algorithm is applied in closed-loop. Numerical examples demonstrate the approach.
Full work available at URL: https://arxiv.org/abs/1501.04352
Cited In (5)
- Linear quadratic regulation for discrete-time antilinear systems: an anti-Riccati matrix equation approach
- Multi-step-length gradient iterative method for separable nonlinear least squares problems.
- Data-driven approximated optimal control for chemical processes with state and input constraints
- Multi-step-length gradient iterative algorithm for equation-error type models
- Fast algorithm for a constrained infinite horizon LQ problem
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