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Lecture 2
Prediction and optimization Input and state predictions Unconstrained optimal control law Extending the cost horizon to infinity Connections with unconstrained LQ-optimal control Incorporating constraints Quadratic programming
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Prediction equations
Linear plant model
(terminal state
not affected by
Quadratic cost
Terminal weight
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Prediction equations
Prediction model (time-invariant, no uncertainty):
State predictions
i.e. th row of :
where
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Prediction equations
Re-write in terms of , :
LTI system
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Cost matrices:
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where
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Unconstrained optimization
Optimize Differentiate w.r.t. : :
is invertible if:
or
& C = full-rank
(true if
controllable)
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Closed-loop responses with unconstrained MPC for varying Predictions and closed-loop response are different Performance gets worse as is reduced
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Horizon
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Horizon
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Horizon
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Solution: use infinite cost horizon but retain finite number of d.o.f. in predictions
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+ J ' (x(k + N | k ))
J ! (x) = x T Px,
P " ( A + BK )T P( A + BK ) = Q + K T RK
n'!
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(for given
unconstrained MPC = LQ-optimal control NB. principle of optimality if optimal and optimal optimal
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Constraints
MPC more useful for constraint handling!! Apply input constraints to mode 1 predictions:
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Constraints
Constraints on mode 1 predictions:
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Solve QP by searching over possible combinations of active constraints, equality constraint problem solved at each iteration
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same solution
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Use cost gradient to choose possible active constraint sets small number of iterations in practice
For MPC: initialize solver using solution of previous optimization no. iterations needed are significantly reduced
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Summary
Predictions input: