An efficient bounded-variable nonlinear least-squares algorithm for embedded MPC

Abstract

This paper presents a novel approach to solve linear and nonlinear model predictive control (MPC) problems that requires small memory footprint and throughput and is particularly suitable when the model and/or controller parameters change at runtime. The contributions of the paper include: (i) a formulation of the nonlinear MPC problem as a bounded-variable nonlinear least-squares (BVNLS) problem, demonstrating that the use of an appropriate solver can outperform industry-standard solvers; (ii) an easily-implementable library-free BVNLS solver with a novel proof of global convergence; (iii) a matrix-free method for computing the products of vectors and Jacobians, required by BVNLS; (iv) an efficient method for updating sparse QR factors when using active-set methods to solve sparse BVNLS problems. Thanks to explicitly parameterizing the optimization algorithm in terms of the model and MPC tuning parameters, the resulting approach is inherently and immediately adaptive to any changes in the MPC formulation. The same algorithmic framework can cope with linear, nonlinear, and adaptive MPC variants based on a broad class of prediction models and sum-of-squares cost functions.