Fast and memory-efficient optimization for large-scale data-driven predictive control
Abstract
Recently, data-enabled predictive control (DeePC) schemes based on Willems' fundamental lemma have attracted considerable attention. At the core are computations using Hankel-like matrices and their connection to the concept of persistency of excitation. We propose an iterative solver for the underlying data-driven optimal control problems resulting from linear discrete-time systems. To this end, we apply factorizations based on the discrete Fourier transform of the Hankel-like matrices, which enable fast and memory-efficient computations. To take advantage of this factorization in an optimal control solver and to reduce the effect of inherent bad conditioning of the Hankel-like matrices, we propose an augmented Lagrangian lBFGS-method. We illustrate the performance of our method by means of a numerical study.
Cite
@article{arxiv.2402.13090,
title = {Fast and memory-efficient optimization for large-scale data-driven predictive control},
author = {Philipp Schmitz and Manuel Schaller and Matthias Voigt and Karl Worthmann},
journal= {arXiv preprint arXiv:2402.13090},
year = {2024}
}