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A Regularized and Smoothed Fischer-Burmeister Method for Quadratic Programming with Applications to Model Predictive Control. (arXiv:1807.03214v1 [math.OC])

来源于:arXiv
This paper considers solving convex quadratic programs (QPs) in a real-time setting using a regularized and smoothed Fischer-Burmeister method (FBRS). The Fischer-Burmeister function is used to map the optimality conditions of the quadratic program to a nonlinear system of equations which is solved using Newton's method. Regularization and smoothing are applied to improve the practical performance of the algorithm and a merit function is used to globalize convergence. FBRS is simple to code, easy to warmstart, robust to early termination, and has attractive theoretical properties, making it appealing for real-time and embedded applications. Numerical experiments using several predictive control examples show that the proposed method is competitive with other state of the art solvers. 查看全文>>