Adjoint-based SQP method with block-wise quasi-Newton Jacobian updates for nonlinear optimal control

DOI10.1080/10556788.2019.1653869zbMATH Open1491.49015arXiv1903.08720OpenAlexW2969000796WikidataQ127365726 ScholiaQ127365726MaRDI QIDQ5865331FDOQ5865331

Rien Quirynen, Pedro Hespanhol

Publication date: 13 June 2022

Published in: Optimization Methods \& Software (Search for Journal in Brave)

Abstract: Nonlinear model predictive control~(NMPC) generally requires the solution of a non-convex optimization problem at each sampling instant under strict timing constraints, based on a set of differential equations that can often be stiff and/or that may include implicit algebraic equations. This paper provides a local convergence analysis for the recently proposed adjoint-based sequential quadratic programming~(SQP) algorithm that is based on a block-structured variant of the two-sided rank-one~(TR1) quasi-Newton update formula to efficiently compute Jacobian matrix approximations in a sparsity preserving fashion. A particularly efficient algorithm implementation is proposed in case an implicit integration scheme is used for discretization of the optimal control problem, in which matrix factorization and matrix-matrix operations can be avoided entirely. The convergence analysis results as well as the computational performance of the proposed optimization algorithm are illustrated for two simulation case studies of nonlinear MPC.

Full work available at URL: https://arxiv.org/abs/1903.08720

zbMATH Keywords

sequential quadratic programmingconvergence analysismultiple shootingnonlinear model predictive controlquasi-Newton updatesdirect collocation

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Numerical methods based on nonlinear programming (49M37) Methods of quasi-Newton type (90C53) Optimality conditions for problems involving ordinary differential equations (49K15)

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Cited In (2)

• An adjoint-based SQP algorithm with quasi-Newton Jacobian updates for inequality constrained optimization
• Sequential hierarchical least-squares programming for prioritized non-linear optimal control

Uses Software

• RODAS
• ACADO
• NewtonLib
• Ipopt
• ve08
• SOCS
• liftedCollocation
• blockSQP

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