A Unifying Complexity Certification Framework for Active-Set Methods for Convex Quadratic Programming (2003.07605v2)

Abstract: In model predictive control (MPC) an optimization problem has to be solved at each time step, which in real-time applications makes it important to solve these optimization problems efficiently and to have good upper bounds on worst-case solution time. Often for linear MPC problems, the optimization problem in question is a quadratic program (QP) that depends on parameters such as system states and reference signals. A popular class of methods for solving such QPs is active-set methods, where a sequence of linear systems of equations is solved. We propose an algorithm for computing which sequence of subproblems an active-set algorithm will solve, for every parameter of interest. By knowing these sequences, a worst-case bound on how many iterations, and ultimately the maximum time, the active-set algorithm requires to converge can be determined. The usefulness of the proposed method is illustrated on a set of QPs, originating from MPC problems, by computing the exact worst-case number of iterations primal and dual active-set algorithms require to reach optimality.