A generalization of the Riccati recursion for equality‐constrained linear quadratic optimal control

DOI10.1002/OCA.3064arXiv2302.14836OpenAlexW4388647595MaRDI QIDQ6180337FDOQ6180337

Authors: Joris De Schutter 

Publication date: 19 January 2024

Published in: Optimal Control Applications \& Methods (Search for Journal in Brave)

Abstract: This paper introduces a generalization of the well-known Riccati recursion for solving the discrete-time equality-constrained linear quadratic optimal control problem. The recursion can be used to compute the solutions as well as optimal feedback control policies. Unlike other tailored approaches for this problem class, the proposed method does not require restrictive regularity conditions on the problem. This allows its use in nonlinear optimal control problem solvers that use exact Lagrangian Hessian information. We demonstrate that our approach can be implemented in a highly efficient algorithm that scales linearly with the horizon length. Numerical tests show a significant speed-up of up to two orders of magnitude with respect to state-of-the-art general-purpose sparse linear solvers. Based on the proposed approach, faster nonlinear optimal control problem solvers can be developed that are suitable for more complex applications or for implementations on low-cost or low-power computational platforms. The implementation of the proposed algorithm is made available as open-source software.

Full work available at URL: https://arxiv.org/abs/2302.14836

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zbMATH Keywords

trajectory optimizationRiccati recursiondiscrete-time equality-constrained linear quadratic optimal controlnonlinear optimal control algorithms

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Optimal feedback synthesis (49N35)

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