A Fast Well-conditioned Interior Point Method for Predictive Control

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Provided by: Imperial College London
Topic: Hardware
Format: PDF
Interior Point Methods (IPMs) have proven to be an efficient way of solving quadratic programming problems in predictive control. A linear system of equations needs to be solved in each iteration of an IPM. The ill-conditioning of this linear system in the later iterations of the IPM prevents the use of an iterative method in solving the linear system due to a very slow rate of convergence; in some cases the solution never reaches the desired accuracy. In this paper the authors propose the use of a well-conditioned, approximate linear system, which increases the rate of convergence of the iterative method.
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