Numerical Methods for Scenario Tree Nonlinear Model Predictive Control

In this thesis we propose new methods in the field of numerical mathematics and stochastics for a model-based optimization method to control dynamical systems under uncertainty. In model-based control the model-plant mismatch is often large and unforeseen external influences on the dynamics must be taken into account. Therefore we extend the dynamical system by a stochastic component and approximate it by scenario trees. The combination of Nonlinear Model Predictive Control (NMPC) and the scenario tree approach to robustify with respect to the uncertainty is of growing interest. In engineering practice scenario tree NMPC yields a beneficial balance of the conservatism introduced by the robustification with respect to the uncertainty and the controller performance. However, there is a high numerical effort to solve the occuring optimization problems, which heavily depends on the design of the scenario tree used to approximate the uncertainty. A big challenge is then to control the system in real-time. The contribution of this work to the field of numerical optimization is a structure exploiting method for the large-scale optimization problems based on dual decomposition that yields smaller subproblems. They can be solved in a massively parallel fashion and additionally their discretization structure can be exploited numerically. Furthermore, this thesis presents novel methods to generate suitable scenario trees to approximate the uncertainty. Our scenario tree generation based on quadrature rules for sparse grids allows for scenario tree NMPC in high-dimensional uncertainty spaces with approximation properties of the quadrature rules. A further novel approach of this thesis to generate scenario trees is based on the interpretation of the underlying stochastic process as a Markov chain. Under the Markovian assumption we provide guarantees for the scenario tree approximation of the uncertainty. Finally, we present numerical results for scenario tree NMPC. We consider dynamical systems from the chemical industry and demonstrate that the methods developed in this thesis solve optimization problems with large scenario trees in real-time

Exploiting Chordality in Optimization Algorithms for Model Predictive Control

In this chapter we show that chordal structure can be used to devise efficient optimization methods for many common model predictive control problems. The chordal structure is used both for computing search directions efficiently as well as for distributing all the other computations in an interior-point method for solving the problem. The chordal structure can stem both from the sequential nature of the problem as well as from distributed formulations of the problem related to scenario trees or other formulations. The framework enables efficient parallel computations.Comment: arXiv admin note: text overlap with arXiv:1502.0638

Multi-Level Iteration Schemes with Adaptive Level Choice for Nonlinear Model Predictive Control

In this thesis we develop the Multi-Level Iteration schemes (MLI), a numerical method for Nonlinear Model Predictive Control (NMPC) where the dynamical models are described by ordinary differential equations. The method is based on Direct Multiple Shooting for the discretization of the optimal control problems to be solved in each sample. The arising parametric nonlinear problems are solved approximately by setting up a generalized tangential predictor in a preparation phase. This generalized tangential predictor is given by a quadratic program (QP), which implicitly defines a piecewise affine linear feedback law. The feedback law is then evaluated in a feedback phase by solving the QP for the current state estimate as soon as it becomes known to the controller. The method developed in this thesis yields significant computational savings by updating the matrix and vector data of the tangential predictor in a hierarchy of four levels. The lowest level performs no updates and just calculates the feedback for a new initial state estimate. The second level updates the QP constraint functions and approximates the QP gradient. The third level updates the QP constraint functions and calculates the exact QP gradient. The fourth level evaluates all matrix and vector data of the QP. Feedback schemes are then assembled by choosing a level for each sample. This yields a successive update of the piecewise affine linear feedback law that is implicitly defined by the generalized tangential predictor. We present and discuss four strategies for data communication between the levels in a scheme and we describe how schemes with fixed level choices can be assembled in practice. We give local convergence theory for each level type holding its own set of primal-dual variables for fixed initial values, and discuss existing convergence theory for the case of a closed-loop process. We outline a modification of the levels that yields additional computational savings. For the adaptive choice of the levels at runtime, we develop two contraction-based criteria to decide whether the currently used linearization remains valid and use them in an algorithm to decide which level to employ for the next sample. Furthermore, we propose a criterion applicable to online estimation. The criterion provides additional information for the level decision for the next sample. Focusing on the second lowest level, we propose an efficient algorithm for suboptimal NMPC. For the presented algorithmic approaches, we describe structure exploitation in the form of tailored condensing, outline the Online Active Set Strategy as an efficient way to solve the quadratic subproblems and extend the method to linear least-squares problems. We develop iterative matrix-free methods for one contraction-based criterion, which estimates the spectral radius of the iteration matrix. We describe three application fields where MLI provides significant computational savings compared to state-of-the-art numerical methods for NMPC. For both fixed and adaptive MLI schemes, we carry out extensive numerical testings for challenging nonlinear test problems and compare the performance of MLI to a state-of-the-art numerical method for NMPC. The schemes obtained by adaptive MLI are computationally much cheaper while showing comparable performance. By construction, the adaptive MLI allows giving feedback with a much higher frequency, which significantly improves controller performance for the considered test problems. To perform the numerical experiments, we have implemented the proposed method within a MATLAB(R) based software called MLI, which makes use of a software package for the automatic derivative generation of first and higher order for the solution of the dynamic model as well as objective and constraint functions, which performs structure exploitation by condensing, and which efficiently solves the parametric quadratic subproblems by using a software package that provides an implementation of the Online Active Set Strategy

Fast numerical methods for mixed--integer nonlinear model--predictive control

This thesis aims at the investigation and development of fast numerical methods for nonlinear mixed--integer optimal control and model- predictive control problems. A new algorithm is developed based on the direct multiple shooting method for optimal control and on the idea of real--time iterations, and using a convex reformulation and relaxation of dynamics and constraints of the original predictive control problem. This algorithm relies on theoretical results and is based on a nonconvex SQP method and a new active set method for nonconvex parametric quadratic programming. It achieves real--time capable control feedback though block structured linear algebra for which we develop new matrix updates techniques. The applicability of the developed methods is demonstrated on several applications. This thesis presents novel results and advances over previously established techniques in a number of areas as follows: We develop a new algorithm for mixed--integer nonlinear model- predictive control by combining Bock's direct multiple shooting method, a reformulation based on outer convexification and relaxation of the integer controls, on rounding schemes, and on a real--time iteration scheme. For this new algorithm we establish an interpretation in the framework of inexact Newton-type methods and give a proof of local contractivity assuming an upper bound on the sampling time, implying nominal stability of this new algorithm. We propose a convexification of path constraints directly depending on integer controls that guarantees feasibility after rounding, and investigate the properties of the obtained nonlinear programs. We show that these programs can be treated favorably as MPVCs, a young and challenging class of nonconvex problems. We describe a SQP method and develop a new parametric active set method for the arising nonconvex quadratic subproblems. This method is based on strong stationarity conditions for MPVCs under certain regularity assumptions. We further present a heuristic for improving stationary points of the nonconvex quadratic subproblems to global optimality. The mixed--integer control feedback delay is determined by the computational demand of our active set method. We describe a block structured factorization that is tailored to Bock's direct multiple shooting method. It has favorable run time complexity for problems with long horizons or many controls unknowns, as is the case for mixed- integer optimal control problems after outer convexification. We develop new matrix update techniques for this factorization that reduce the run time complexity of all but the first active set iteration by one order. All developed algorithms are implemented in a software package that allows for the generic, efficient solution of nonlinear mixed-integer optimal control and model-predictive control problems using the developed methods

Efficient Real-Time Solutions for Nonlinear Model Predictive Control with Applications

Nonlinear Model Predictive Control is an advanced optimisation methodology widely used for developing optimal Feedback Control Systems that use mathematical models of dynamical systems to predict and optimise their future performance. Its popularity comes from its general ability to handle a wide range of challenges present when developing control systems such as input/output constraints, complex nonlinear dynamics multi-variable systems, dynamic systems with significant delays as well as handling of uncertainty, disturbances and fault-tolerance. One of the main and most important challenges is the computational burden associated with the optimisation, particularly when attempting to implement the underlying methods in fast/real-time systems. To tackle this, recent research has been focused on developing efficient real-time solutions or strategies that could be used to overcome this problem. In this case, efficiency may come in various different ways from mathematical simplifications, to fast optimisation solvers, special algorithms and hardware, as well as tailored auto-generated coding tool-kits which help to make an efficient overall implementation of these type of approaches. This thesis addresses this fundamental problem by proposing a wide variety of methods that could serve as alternatives from which the final user can choose from depending on the requirements specific to the application. The proposed approaches focus specifically of developing efficient real-time NMPC methods which have a significantly reduced computational burden whilst preserving desirable properties of standard NMPC such as nominal stability, recursive feasibility guarantees, good performance, as well as adequate numeric conditioning for their use in platforms with reduced numeric precision such as ``floats'' subject to certain conditions being met. One of the specific aims of this work is to obtain faster solutions than the popular ACADO toolkit, in particular when using condensing-based NMPC solutions under the Real-Time Iteration Scheme, considered for all practical purposes the state-of-the-art standard real-time solution to which all the approaches will be bench-marked against. Moreover, part of the work of this thesis uses the concept of ``auto-generation'' for developing similar tool-kits that apply the proposed approaches. To achieve this, the developed tool-kits were supported by the Eigen 3 library which were observed to result in even better computation times than the ACADO toolkit. Finally, although the work undertaking by this thesis does not look into robust control approaches, the developed methods could be used for improving the performance of the underlying ``online'' optimisation, eg. by being able to perform additional iterations of the underlying SQP optimisation, as well as be used in common robust frameworks where multi-model systems must be simultaneously optimised in real-time. Thus, future work will look into merging the proposed methods with other existing strategies to give an even wider range of alternatives to the final user

Nonlinear Model Predictive Control for Motion Generation of Humanoids

Das Ziel dieser Arbeit ist die Untersuchung und Entwicklung numerischer Methoden zur Bewegungserzeugung von humanoiden Robotern basierend auf nichtlinearer modell-prädiktiver Regelung. Ausgehend von der Modellierung der Humanoiden als komplexe Mehrkörpermodelle, die sowohl durch unilaterale Kontaktbedingungen beschränkt als auch durch die Formulierung unteraktuiert sind, wird die Bewegungserzeugung als Optimalsteuerungsproblem formuliert. In dieser Arbeit werden numerische Erweiterungen basierend auf den Prinzipien der Automatischen Differentiation für rekursive Algorithmen, die eine effiziente Auswertung der dynamischen Größen der oben genannten Mehrkörperformulierung erlauben, hergeleitet, sodass sowohl die nominellen Größen als auch deren ersten Ableitungen effizient ausgewertet werden können. Basierend auf diesen Ideen werden Erweiterungen für die Auswertung der Kontaktdynamik und der Berechnung des Kontaktimpulses vorgeschlagen. Die Echtzeitfähigkeit der Berechnung von Regelantworten hängt stark von der Komplexität der für die Bewegungerzeugung gewählten Mehrkörperformulierung und der zur Verfügung stehenden Rechenleistung ab. Um einen optimalen Trade-Off zu ermöglichen, untersucht diese Arbeit einerseits die mögliche Reduktion der Mehrkörperdynamik und andererseits werden maßgeschneiderte numerische Methoden entwickelt, um die Echtzeitfähigkeit der Regelung zu realisieren. Im Rahmen dieser Arbeit werden hierfür zwei reduzierte Modelle hergeleitet: eine nichtlineare Erweiterung des linearen inversen Pendelmodells sowie eine reduzierte Modellvariante basierend auf der centroidalen Mehrkörperdynamik. Ferner wird ein Regelaufbau zur GanzkörperBewegungserzeugung vorgestellt, deren Hauptbestandteil jeweils aus einem speziell diskretisierten Problem der nichtlinearen modell-prädiktiven Regelung sowie einer maßgeschneiderter Optimierungsmethode besteht. Die Echtzeitfähigkeit des Ansatzes wird durch Experimente mit den Robotern HRP-2 und HeiCub verifiziert. Diese Arbeit schlägt eine Methode der nichtlinear modell-prädiktiven Regelung vor, die trotz der Komplexität der vollen Mehrkörperformulierung eine Berechnung der Regelungsantwort in Echtzeit ermöglicht. Dies wird durch die geschickte Kombination von linearer und nichtlinearer modell-prädiktiver Regelung auf der aktuellen beziehungsweise der letzten Linearisierung des Problems in einer parallelen Regelstrategie realisiert. Experimente mit dem humanoiden Roboter Leo zeigen, dass, im Vergleich zur nominellen Strategie, erst durch den Einsatz dieser Methode eine Bewegungserzeugung auf dem Roboter möglich ist. Neben Methoden der modell-basierten Optimalsteuerung werden auch modell-freie Methoden des verstärkenden Lernens (Reinforcement Learning) für die Bewegungserzeugung untersucht, mit dem Fokus auf den schwierig zu modellierenden Modellunsicherheiten der Roboter. Im Rahmen dieser Arbeit werden eine allgemeine vergleichende Studie sowie Leistungskennzahlen entwickelt, die es erlauben, modell-basierte und -freie Methoden quantitativ bezüglich ihres Lösungsverhaltens zu vergleichen. Die Anwendung der Studie auf ein akademisches Beispiel zeigt Unterschiede und Kompromisse sowie Break-Even-Punkte zwischen den Problemformulierungen. Diese Arbeit schlägt basierend auf dieser Grundlage zwei mögliche Kombinationen vor, deren Eigenschaften bewiesen und in Simulation untersucht werden. Außerdem wird die besser abschneidende Variante auf dem humanoiden Roboter Leo implementiert und mit einem nominellen modell-basierten Regler verglichen

Algorithms and Applications for Nonlinear Model Predictive Control with Long Prediction Horizon

Fast implementations of NMPC are important when addressing real-time control of systems exhibiting features like fast dynamics, large dimension, and long prediction horizon, as in such situations the computational burden of the NMPC may limit the achievable control bandwidth. For that purpose, this thesis addresses both algorithms and applications. First, fast NMPC algorithms for controlling continuous-time dynamic systems using a long prediction horizon have been developed. A bridge between linear and nonlinear MPC is built using partial linearizations or sensitivity update. In order to update the sensitivities only when necessary, a Curvature-like measure of nonlinearity (CMoN) for dynamic systems has been introduced and applied to existing NMPC algorithms. Based on CMoN, intuitive and advanced updating logic have been developed for different numerical and control performance. Thus, the CMoN, together with the updating logic, formulates a partial sensitivity updating scheme for fast NMPC, named CMoN-RTI. Simulation examples are used to demonstrate the effectiveness and efficiency of CMoN-RTI. In addition, a rigorous analysis on the optimality and local convergence of CMoN-RTI is given and illustrated using numerical examples. Partial condensing algorithms have been developed when using the proposed partial sensitivity update scheme. The computational complexity has been reduced since part of the condensing information are exploited from previous sampling instants. A sensitivity updating logic together with partial condensing is proposed with a complexity linear in prediction length, leading to a speed up by a factor of ten. Partial matrix factorization algorithms are also proposed to exploit partial sensitivity update. By applying splitting methods to multi-stage problems, only part of the resulting KKT system need to be updated, which is computationally dominant in on-line optimization. Significant improvement has been proved by giving floating point operations (flops). Second, efficient implementations of NMPC have been achieved by developing a Matlab based package named MATMPC. MATMPC has two working modes: the one completely relies on Matlab and the other employs the MATLAB C language API. The advantages of MATMPC are that algorithms are easy to develop and debug thanks to Matlab, and libraries and toolboxes from Matlab can be directly used. When working in the second mode, the computational efficiency of MATMPC is comparable with those software using optimized code generation. Real-time implementations are achieved for a nine degree of freedom dynamic driving simulator and for multi-sensory motion cueing with active seat

Fast and Safe Trajectory Optimization for Autonomous Mobile Robots using Reachability Analysis

Autonomous mobile robots (AMRs) can transform a wide variety of industries including transportation, shipping and goods delivery, and defense. AMRs must match or exceed human performance in metrics for task completion and safety. Motion plans for AMRs are generated by solving an optimization program where collision avoidance and the trajectory obeying a dynamic model of the robot are enforced as constraints. This dissertation focuses on three main challenges associated with trajectory planning. First, collision checks are typically performed at discrete time steps. Second, there can be a nontrivial gap between the planning model used and the actual system. Finally, there is inherent uncertainty in the motion of other agents or robots. This dissertation first proposes a receding-horizon planning methodology called Reachability-based Trajectory Design (RTD) to address the first and second challenges, where uncertainty is dealt with robustly. Sums-of-Squares (SOS) programming is used to represent the forward reachable set for a dynamic system plus uncertainty, over an interval of time, as a polynomial level set. The trajectory optimization is a polynomial optimization program over a space of trajectory parameters. Hardware demonstrations are implemented on a Segway, rover, and electric vehicle. In a simulation of 1,000 trials with static obstacles, RTD is compared to Rapidly-exploring Random Tree (RRT) and Nonlinear Model Predictive Control (NMPC) planners. RTD has success rates of 95.4% and 96.3% for the Segway and rover respectively, compared to 97.6% and 78.2% for RRT and 0% for NMPC planners. RTD is the only successful planner with no collisions. In 10 simulations with a CarSim model, RTD navigates a test track on all trials. In 1,000 simulations with random dynamic obstacles RTD has success rates of 96.8% and 100% respectively for the electric vehicle and Segway, compared to 77.3% and 92.4% for a State Lattice planner. In 100 simulations performing left turns, RTD has a success rate of 99% compared to 80% for an MPC controller tracking the lane centerline. The latter half of the dissertation treats uncertainty with the second and/or third challenges probabilistically. The Chance-constrained Parallel Bernstein Algorithm (CCPBA) allows one to solve the trajectory optimization program from RTD when obstacle states are given as probability functions. A comparison for an autonomous vehicle planning a lane change with one obstacle shows an MPC algorithm using Cantelli's inequality is unable to find a solution when the obstacle's predictions are generated with process noise three orders of magnitude less than CCPBA. In environments with 1-6 obstacles, CCPBA finds solutions in 1e-3 to 1.2 s compared to 1 to 16 s for an NMPC algorithm using the Chernoff bound. A hardware demonstration is implemented on the Segway. The final portion of the dissertation presents a chance-constrained NMPC method where uncertain components of the robot model are estimated online. The application is an autonomous vehicle with varying road surfaces. In the first study, the controller uses a linear tire force model. Over 200 trials of lane changes at 17 m/s, the chance-constrained controller has a cost 86% less than a controller using fixed coefficients for snow, and only 29% more than an oracle controller using the simulation model. The chance-constrained controller also has 0 lateral position constraint violations, while an adaptive-only controller has minor violations. The second study uses nonlinear tire models on a more aggressive maneuver and provides similar results.PHDMechanical EngineeringUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/169729/1/skvaskov_1.pd