Fast-DeePC: Fast Data-Enabled Predictive Control using Soft-constrained Scheme

Abstract: Data-enabled predictive control (DeePC) replaces the explicit system model of model predictive control with a data-driven predictor built directly from recorded input-output trajectories, but the original hard-equality formulation keeps its coordinate vector as an online decision variable whose size grows with the offline data length, so the online problem grows more expensive as more data is used to enrich the behavioral representation. This article proposes Fast-DeePC, a framework which relaxes this consistency relation into the control objective with a quadratic ridge on the coordinate vector in place of the customary sparsity-promoting penalty, admitting a closed-form, offline elimination of the coordinate vector and reducing the online problem to a fixed-size box-constrained quadratic program solved by a structure-exploiting interior-point method. On identical soft quadratically regularized problems, the result matches a general-purpose solver's solution and is up to two orders of magnitude faster.