An Algorithm for Approximate Multiparametric Convex Programming

  • Authors:
  • Alberto Bemporad;Carlo Filippi

  • Affiliations:
  • Dip. Ingegneria dell'Informazione, Università di Siena, Italy;Dip. Matematica Pura e Applicata, Università di Padova, Italy

  • Venue:
  • Computational Optimization and Applications
  • Year:
  • 2006

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Abstract

For multiparametric convex nonlinear programming problems we propose a recursive algorithm for approximating, within a given suboptimality tolerance, the value function and an optimizer as functions of the parameters. The approximate solution is expressed as a piecewise affine function over a simplicial partition of a subset of the feasible parameters, and it is organized over a tree structure for efficiency of evaluation. Adaptations of the algorithm to deal with multiparametric semidefinite programming and multiparametric geometric programming are provided and exemplified. The approach is relevant for real-time implementation of several optimization-based feedback control strategies.