Dual Dynamic Programming for Multi-Scale Mixed-Integer MPC

arXiv2007.10149MaRDI QIDQ6345467FDOQ6345467

Authors: Ranjeet Kumar, Michael J. Wenzel, Mohammad N. ElBsat, Michael J. Risbeck, Kirk H. Drees, Victor M. Zavala 

Publication date: 16 July 2020

Abstract: We propose a dual dynamic integer programming (DDIP) framework for solving multi-scale mixed-integer model predictive control (MPC) problems. Such problems arise in applications that involve long horizons and/or fine temporal discretizations as well as mixed-integer states and controls (e.g., scheduling logic and discrete actuators). The approach uses a nested cutting-plane scheme that performs forward and backward sweeps along the time horizon to adaptively approximate cost-to-go functions. The DDIP scheme proposed can handle general MPC formulations with mixed-integer controls and states and can perform forward-backward sweeps over block time partitions. We demonstrate the performance of the proposed scheme by solving mixed-integer MPC problems that arise in the scheduling of central heating, ventilation, and air-conditioning (HVAC) plants. We show that the proposed scheme is scalable and dramatically outperforms state-of-the-art mixed-integer solvers.

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