A Dual Active-Set Solver for Embedded Quadratic Programming Using Recursive LDL$^{T}$ Updates
Daniel Arnström, Alberto Bemporad, Daniel Axehill
Abstract
In this technical article, we present a dual active-set solver for quadratic programming that has properties suitable for use in embedded model predictive control applications. In particular, the solver is efficient, can easily be warm started, and is simple to code. Moreover, the exact worst-case computational complexity of the solver can be determined offline and, by using outer proximal-point iterations, ill-conditioned problems can be handled in a robust manner.
Topics & Concepts
SolverQuadratic programmingComputer scienceQuadratic equationSimple (philosophy)Set (abstract data type)Dual (grammatical number)Answer set programmingMathematical optimizationCode (set theory)Computational complexity theoryAlgorithmParallel computingMathematicsProgramming languageLiteratureArtPhilosophyGeometryEpistemologyAdvanced Control Systems OptimizationControl Systems and IdentificationAdvanced Optimization Algorithms Research