Version Alpha (Sep 2008)

Yang Wang and
Stephen Boyd

`fast_mpc` contains two C functions, with MATLAB mex interface,
that implement the fast model predictive control methods described in the
paper
*Fast Model Predictive
Control Using Online Optimization*. See this paper for the precise
problem formulation and meanings of the algorithm parameters.

Get and unpack the package files from either of

This will create a directory that contains all source, as well as this documentation.

See the file INSTALL for installation instructions.

We consider the control of a time-invariant linear dynamical system

where , , and are the state, input, and disturbance at time , and and are the dynamics and input matrices.

In model predictive control (MPC), at each time we solve the QP

with variables

and data

The MPC input is . We repeat this at the next time step.

`fast_mpc` is a software package for solving this optimization problem
fast by exploiting its special structure, and by solving the problem
approximately.
The function `fmpc_step` solves the problem above, starting from a given
initial state and input trajectory.
The function `fmpc_sim` carries out a full MPC simulation of a dynamical
system with MPC control.

The function `fmpc_step` solves the above optimization problem and returns the
approximately optimal and trajectories. (In this case, you must
implement the MPC control loop yourself.) The calling procedure is as
follows.

[X,U,telapsed] = fmpc_step(sys,params,X0,U0,x0);

Inputs

System description (sys structure): sys.A : dynamics matrix A sys.B : input matrix B sys.Q : state cost matrix Q sys.R : input cost matrix R sys.xmax : state upper limits x_{max} sys.xmin : state lower limits x_{min} sys.umax : input upper limits u_{max} sys.umin : input lower limits u_{min} sys.n : number of states sys.m : number of inputs MPC parameters (params structure): params.T : MPC horizon T params.Qf : MPC final cost Q_f params.kappa : Barrier parameter params.niters : number of newton iterations params.quiet : no output to display if true Other inputs X0 : warm start X trajectory (n by T matrix) U0 : warm start U trajectory (m by T matrix) x0 : initial state The inputs X0 and U0 need not satisfy the constraints; they are first projected into the bounding box before the fast algorithm is applied.

Outputs

X : optimal X trajectory (n by T matrix) U : optimal U trajectory (m by T matrix) telapsed : time taken to solve the problem

The function `fmpc_sim` handles the entire MPC simulation.
For ,
`fmpc_sim` solves the above optimization problem, then applies the MPC input
and updates the state according to the dynamics equations.
The state and control trajectories are initialized with those from the
previous step, shifted in time, and
appending and , where

(As with `fmpc_step`, these trajectories are then projected into the
constraint box.)
Here is the terminal control gain,

The calling procedure is

[Xhist,Uhist,telapsed] = fmpc_sim(sys,params,X0,U0,x0,w);

Inputs

System description (sys structure): sys.A : dynamics matrix A sys.B : input matrix B sys.Q : state cost matrix Q sys.R : input cost matrix R sys.xmax : state upper limits x_{max} sys.xmin : state lower limits x_{min} sys.umax : input upper limits u_{max} sys.umin : input lower limits u_{min} sys.n : number of states sys.m : number of inputs MPC parameters (params structure): params.T : MPC horizon T params.Qf : MPC final cost Q_f params.kappa : Barrier parameter params.niters : number of newton iterations params.quiet : no output to display if true params.nsteps : number of steps to run the MPC simulation Other inputs X0 : warm start X trajectory (n by T matrix) U0 : warm start U trajectory (m by T matrix) x0 : initial state w : disturbance trajectory (n by nsteps matrix) The inputs X0 and U0 need not satisfy the constraints; they are first projected into the bounding box before the fast algorithm is applied.

Outputs

Xhist : state history (n by nsteps matrix) Uhist : input history (m by nsteps matrix) telapsed : time taken to solve the problem

We have provided two examples that illustrate usage:

`masses_example.m`uses`fmpc_step`to control a system of oscillating masses.`randsys_example.m`uses`fmpc_sim`to simulate MPC on a randomly generated system.

Please report any bugs to Yang Wang <yw224@stanford.edu>.

`fast_mpc` is under Apache license, version 2.0, January 2004.