A riccati based homogeneous and self-dual interior-point method for linear economic model predictive control

Abstract

In this paper, we develop an efficient interior-point method (IPM) for the linear programs arising in economic model predictive control of linear systems. The novelty of our algorithm is that it combines a homogeneous and self-dual model, and a specialized Riccati iteration procedure. We test the algorithm in a conceptual study of power systems management. Simulations show that in comparison to state of the art software implementation of IPMs, our method is significantly faster and scales in a favourable way.