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A Dual Active-Set Solver for Embedded Quadratic Programming Using Recursive LDL' Updates (2103.16236v2)
Published 30 Mar 2021 in math.OC, cs.SY, and eess.SY
Abstract: In this paper we present a dual active-set solver for quadratic programming which has properties suitable for use in embedded model predictive control applications. In particular, the solver is efficient, can easily be warm-started, and is simple to code. Moreover, the exact worst-case computational complexity of the solver can be determined offline and, by using outer proximal-point iterations, ill-conditioned problems can be handled in a robust manner.