Preconditioned warm-started Newton-Krylov methods for MPC with discontinuous control

DOI10.1137/1.9781611975024.1MaRDI QIDQ6285853zbMATH OpenFDO

Authors Andrew Knyazev, A. I. Malyshev

Publication date 23 April 2017

Mathematics Subject Classification ID

Newton-type methods (49M15)

Abstract: We present Newton-Krylov methods for efficient numerical solution of optimal control problems arising in model predictive control, where the optimal control is discontinuous. As in our earlier work, preconditioned GMRES practically results in an optimal $O(N)$ complexity, where $N$ is a discrete horizon length. Effects of a warm-start, shifting along the predictive horizon, are numerically investigated. The~method is tested on a classical double integrator example of a minimum-time problem with a known bang-bang optimal control.

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