Explicit Non-linear Optimal Control

Law for Continuous Time Systems

via Parametric Programming
Vassilis Sakizlis,
Vivek Dua, Stratos Pistikopoulos

Centre for Process Systems Engineering
Department of Chemical Engineering
Imperial College, London.
Brachistrone Problem
wall- target
plane-obstacle
x
y
g
x=l
y=xtan+h

Find closed-loop trajectory (x,y) of a gravity driven ball such
that it will reach the opposite wall in minimum time
Outline
Introduction
Multi-parametric Dynamic Optimization
Explicit Control Law
Results
Concluding Remarks
Introduction
Model Predictive Control
Accounts for
- Optimality
- Constraints
- Logical Decisions
Shortcomings
-Demanding Computations
-Applies to slow processes
-Uncertainty handling
Solve an optimization problem at each time interval
Application - Parametric Controllers
(Parcos)
Explicit Control law
Eliminate expensive, on-line computations
Optimization
Problem
Parametric Solution
) (
*
x v
*
x
Parametric Controller
v(t)=g(x
*
)
PLANT
Process Outputs y
Input
Disturbances
w
Plant State x
*
Control v
Theory of PARCOS
Complete mapping of optimal conditions in parameter space
Function |
c
(x),v
c
(x),o
c

(x)
Critical regions CR
c
(x)s0 c=1,N
c
What is Parametric Programming?
Features
binary
continuous
parameters
) ( s.t.
) (
:
:

v
x
x v g
x v f x
v
:
0 , ,
, , min ) (
,
s
=
o
o |
o
) (
) (
x
x v
o
x
Region CR
1

Theory, Algorithms and Software Tools
for Multi-parametric Optimization Problems
Quadratic and convex nonlinear
Mixed integer linear, quadratic and nonlinear
Bilinear
Applications
Process synthesis and planning
Design under Uncertainty
Reactive scheduling / Bilevel Programming
Stochastic Programming
Model based and hybrid control

Parametric Programming Developments
Model based Control via Parametric
Programming
0.15 t , 10
, 0
5 . 1 ) , ( 0
" "
01221 . 0 992 . 0 170 . 0
0.16954 107 . 0 269 . 1 . .
) 10 0198 . 0
0084 . 0 0116 . 0 ( min )
, 2 , 1 | |
*
, 2 , 1 1 , 2
, 2 , 1 1 , 1
2 4
, 2 , 1
1
0
2
, 2
2
, 1 | |
*
= A =
=
+ = >
=
+ + =
+ =
+ +
+ + =
+ +
+ + + + +
+ + + + +
+

+ +

=
+ +
N
N k
x x v x g
x x
v x x x
v x x x t s
v x x
x x Px x (x
k t k t t k t k
t
k t k t k t k t
k t k t k t k t
k t k t k t
N
k
k t k t t N
T
t N
v
N

u
Formulate mp-QP (mp-LP)
Obtain piecewise affine control law
Pistikopoulos et al., (2002)
Bemporad et al.,(2002)
c
o
c
N
c
N c
X x CR
(x ), (x v
, 1
, 0 ) (
),
*
* *
=
<
Objective
Discrete Model
Current States
Constraints
Parco / Explicit MPC Solution
c
c c
N c
CR x CR
b x a v
c c
,... 1
0 if
law Control
2 * 1
*
0
=
s +
+ =
Complex
Approximate
Multi-parametric Dynamic Optimization
mp-DO
) , [
0 ) ( , 0 ) ( ) (
v(t)]dt v(t) ) ( ) ( [ min ) (
*
2 2 1
T *
*
f o
o
f
t
t
T
f
T
f
v
t t t
x x
t x G b t v D t x D g
v B x A x
R t x Q t x Px x x
f
e
=
s = s + + =
+ =
+ + =
}

Feasible Set X
*

For each x
*
e X
*
there exists an optimizer v
*
(x
*
,t) such
that the constraints g(v
*
,x
*
) are satisfied.
Value Function |(x
*
), x
*
e X
*

Optimizer, states v
*
(x
*
,t), x(x*,t), x
*
e X
*



mp-DO Solution
Three methods
Complete discretization

Discrete state space model
(Bemporad and Morari, 1999)

mp-(MI)QP (LP)
(Dua et al., 2000,2001)
Lagrange Polynomials for
Parameterizing the Controls
(Vassiliadis et al., 1994)

semi-infinite program - two
stage decomposition .(similar
to Grossmann et al., 1983)
mp- (MI)DO (1)
mp- (MI)DO (2)
Euler Lagrange conditions of Optimality
No state or control discretization
Multi-parametric Dynamic Optimization
mp-DO
Optimality Conditions - Unconstrained problem
(No inequality constraints)
) ( ) (
) (
Conditions Boundary
] , [

Equations of System al Differenti Augmented
*
1
f f
o
f o
T
T
t Px t
x t x
t t t
B R v
A Qx
Bv Ax x
=
=
e
=
=
+ =

Two point boundary value problem

Multi-parametric Dynamic Optimization
mp-DO
Optimality Conditions - Unconstrained problem
t
f t
o

g
(
x
,
v
)

Constraint bound
Multi-parametric Dynamic Optimization
mp-DO
Optimality Conditions - Constrained problem
t
f t
o

g
(
x
,
v
)

-

c
o
n
s
t
r
a
i
n
t

t
1

t
2

Boundary constrained arc
Unconstrained arc
Unknowns
Switching points
Multi-parametric Dynamic Optimization
mp-DO
Optimality Conditions - Constrained problem
] , [
0 , 0
) (

Equations of System al Differenti Augmented
1
f o
i i i
T
T
T
T
t t t
g
x
g
B R v
x
g
A Qx
Bv Ax x
e
> =
|
.
|

\
|
c
c
+ =
|
.
|

\
|
c
c
=
+ =

Complementarily Conditions
Multi-parametric Dynamic Optimization
mp-DO
Optimality Conditions - Constrained problem

T T T T
T
f f
o
g Rv v Qx x x H
t H t H
t H t H
t t
x
g
t t
t Px t
t x t x
t x t x
x t x
+ + + =
=
=
=
|
.
|

\
|
c
c
+ =
=
=
=
=
+
+
+
+
+
+

) ( ) (
) ( ) (
) ( ) (
) ( ) (
) ( ) (
) ( ) (
) ( ) (
) (
Conditions Boundary
2 2
1 1
2 2
1 1
2 2
1 1
*
States - Continuity
Costates - Adjoints
Hamiltonian Switching points
Multi-parametric Dynamic Optimization
mp-DO
Optimality Conditions - Constrained problem
Solve analytically the dynamics, get time profiles of variables
Substitute into Boundary Conditions Eliminate time
| | | |
1 1 1 1
2 , 1
*
2 , 1 2 , 1
*
2 , 1 2 , 1
, :
0 ) ( , 0 )) ( ) ( ) ( (
) ( ) (
,
,

= =
> =
=
o f
x where
t t b x t F t N
x t S t M
Linear in
Non Linear in t
1,2

Solve for (sole unknown) and back-substitute into dynamics
Get profiles of x(t,x*), v(t,x*), (t,x*), (t,x*)
Solution of mp-DO
1. Fix a point in x-space
2. Solve DO and determine active constraints and boundary
arcs
3. Determine optimal profiles for (t,x
*
),(t,x
*
),v(t,x
*
),t
1
(x*),t
2
(x
*
)
4. Determine region where profiles are valid:
0 )} , (
~
{ min ) ( 0 ) , (
~
0 )} , ( { max ) ( 0 ) , (
*
] , [
*
2
*
*
] , [
*
1
*
2 1
s = >
s = s
e
e
t x x G t x
t x g x G t x g
t t t
t t t
f o



Optimality condition
Feasibility condition
Control Law
c
c c
N c
x CR x x CR
x t b x x t A v
, , 1
), ( ) ( 0
if
) , ( ) , (

* 2 * * 1
* * *
=
+ >
+ =
Applied for
t
*
s ts t
*
+t
OR
| | )) ( , ( )) ( , ( lim ) (

* *
0
*
x t t b x x t t A x v
k
c o
k
c
t
+ =

Implement continuously
Continuous Control Law via
mp-DO
*
of function nonlinear are , , continuous x v
Property 1:


Property 2:


Property 3:

Property 4:

convex , continuous is ) (
*
x |
NL continuous ) (x t ), (x t
*
kx
*
kt
Feasible region: X
*
convex but each critical region non-convex
2 - state Example
open-loop unstable system
] 5 . 1 , 0 [
100 100
0 ] 1 5 . 1 [
0
1
0 1
63 . 0 63 . 1

]dt v 10
0084 . 0 0099 . 0
0099 . 0 0116 . 0
[ min ) (
*
2 4 *
*
e
=
s s
s =
(

+
(

=
+
(

+ =

}
t
x x
v
x g
v x x
x x Px x x
o
t
t
T
f
T
f
v
f

|
mp-DO Result

); 43 . 1 13 . 0 ( 0 . 21 ) 93 . 0 09 . 1 ( 4 . 12 ) (
2 1
86 . 0
2 1
76 . 10
x x e x x e t v
t t
+ + =

Region
)
43 . 1 13 . 0
94 . 0 09 . 1
ln( 1 . 0 : where
0 4 . 2 ) 43 . 1 13 . 0 ( 22 . 0 ) 94 . 0 09 . 1 ( 4 . 1
2 1
2 1
2 1
86 . 0
2 1
77 . 10
x x
x x
t
x x e x x e
t t
+
+
=
s + +

mp-DO Result

Results for constrained region:
mp-DO Result

Results for constrained region:
mp-DO Result

Complexity
mp-QP:

=

=
|
|
.
|

\
|
+
=
|
|
.
|

\
|

10
0 0
) 2 1 ( 10
i
N nv
i
i i
N q
Max number of regions
mp-DO:
4
2 1
1
0 0
=
|
|
.
|

\
|
+
=
|
|
.
|

\
|

= = i
nv
i
i i
q
Max number of regions
Reduced space of optimization variables and
constraints
Constrained
Unconstrained
mp-DO Result - Simulations
mp-DO Result - Suboptimal
Feature: 25 regions correspond to the same active
constraint over different time elements
Merge and get convex Hull
Compute
feasible
Control law
In Hull
v = -6.92x
1
-2.9x
2
-1.59
v = -6.58x
1
-3.02x
2

mp-DO Result - Suboptimal
Brachistrone Problem
wall- target
plane-obstacle
x
y
g
x=l
y=xtan+h

Find trajectory of a gravity driven ball such that it will reach
the opposite wall in minimum time
Brachistrone Problem
) , 0 [
) (
) (
1 , ) (
1 , 5 . 0 ) ( tan , ) tan(
) sin( 2
) cos( 2
min ) , (
0 0
f
o o
o o
f
f
t t
y t y
x t x
l l t x
h h x y
gy y
gy x
t x y
e
=
=
= >
= = + s
=
=
=
u u

Brachistrone Problem - Results

Brachistrone Problem - Results
Absence of disturbance: open=closed-loop profile
Brachistrone Problem - Results
Presence of disturbance
Concluding Remarks
Issues
Unexplored area of research
Non-linearity in path constraints even if dynamics are linear
Complexity of solution
Advantages
Improved accuracy and feasibility over discrete time case
Suitable for the case of model based control
Reduction in number of polyhedral regions
Relate switching points to current state