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Efficient robust optimization for robust control with constraints

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Abstract

This paper proposes an efficient computational technique for the optimal control of linear discrete-time systems subject to bounded disturbances with mixed linear constraints on the states and inputs. The problem of computing an optimal state feedback control policy, given the current state, is non-convex. A recent breakthrough has been the application of robust optimization techniques to reparameterize this problem as a convex program. While the reparameterized problem is theoretically tractable, the number of variables is quadratic in the number of stages or horizon length N and has no apparent exploitable structure, leading to computational time of \({\mathcal{O}}(N^{6})\) per iteration of an interior-point method. We focus on the case when the disturbance set is ∞-norm bounded or the linear map of a hypercube, and the cost function involves the minimization of a quadratic cost. Here we make use of state variables to regain a sparse problem structure that is related to the structure of the original problem, that is, the policy optimization problem may be decomposed into a set of coupled finite horizon control problems. This decomposition can then be formulated as a highly structured quadratic program, solvable by primal-dual interior-point methods in which each iteration requires \({\mathcal{O}}(N^3)\) time. This cubic iteration time can be guaranteed using a Riccati-based block factorization technique, which is standard in discrete-time optimal control. Numerical results are presented, using a standard sparse primal-dual interior point solver, that illustrate the efficiency of this approach.

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Authors and Affiliations

  1. Department of Engineering, University of Cambridge, Trumpington Street, Cambridge, CB2 1PZ, UK

    Paul J. Goulart

  2. Department of Aeronautics and Department of Electrical and Electronic Engineering, Imperial College London, Exhibition Road, London, SW7 2AZ, UK

    Eric C. Kerrigan

  3. Judge Business School, University of Cambridge, Trumpington Street, Cambridge, CB2 1PZ, UK

    Daniel Ralph

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  1. Paul J. Goulart
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  2. Eric C. Kerrigan
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  3. Daniel Ralph
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Correspondence to Paul J. Goulart.

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Goulart, P.J., Kerrigan, E.C. & Ralph, D. Efficient robust optimization for robust control with constraints. Math. Program. 114, 115–147 (2008). https://doi.org/10.1007/s10107-007-0096-6

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