A Homogeneous and Self Dual Interior Point Linear Programming Algorithm for Economic Model Predictive Control
We develop an efficient homogeneous and self dual interior point method (IPM) for the linear programs arising in economic model predictive control of constrained linear systems with linear objective functions. The algorithm is based on a Riccati iteration procedure, which is adapted to the linear system of equations solved in homogeneous and self dual IPMs. Fast convergence is further achieved using a warm start strategy. We implement the algorithm in MATLAB and C. Its performance is tested using a conceptual power management case study. Closed loop simulations show that: 1) the proposed algorithm is significantly faster than several state of the art IPMs based on sparse linear algebra and 2) warm start reduces the average number of iterations by 35% 40%
IEEE Transactions on Automatic Control