A Warm-Start Strategy in Interior Point Methods for Shrinking Horizon Model Predictive Control With Variable Discretization Step

Abstract

For optimal control problems with random external disturbances, offline algorithms may not perform well because the state cannot be predicted. To solve the problems online, the model predictive control is frequently used, where a series of subproblems with different initial conditions are solved. These convex subproblems could be solved by using interior point methods after discrete approximations. To obtain a solution as accurately as possible under limited computing resources, the variable discretization step is usually considered. To improve efficiency, warm-start methods are considered, which utilize the similarity of subproblem structures. Specifically, the information obtained by solving earlier subproblems is used to solve subsequent subproblems. However, the discretization steps and the sampling numbers of subproblems may be different, and the initial states vary greatly, resulting in poor performance of existing warm-start strategies for interior point methods. In this paper, we present a new warm-start strategy for interior-point methods. In the strategy, a convex combination of components of the earlier optimal solution is used to construct an interpolation point, and we use the convex combination of the modified interpolation point and the cold-start point to obtain a warm-start point. We prove that the worst-case iteration complexity of our strategy is better than that of the cold-start. In the numerical experiment of fuel-optimal planetary powered-descent guidance problems, our strategy reduces the number of iterations of second-order cone programming by about <inline-formula><tex-math notation="LaTeX">$80\%$</tex-math></inline-formula> with the number of samples available in practical applications.