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Abstract— This paper presents a comprehensive survey of Until 70s MPC was only used for plants with slow dy-
different optimization methods used in Model Predictive Con- namics. It was widely applied in petro-chemical and related
trol (MPC) systems. We discuss optimization methods for industries where satisfaction of constraints was particularly
both linear and non-linear systems and describe advan-
tages/disadvantages for each method and also the specific important because efficiency demands operating points on or
conditions in which each method should be used. State of the close to the boundary of the set of admissible states and
Art in this field is described together with current and future control. One of the primary advantages of this technique
research trends. is its explicit capability to handle constraints. However, the
fact that the optimisation procedure is to be repeated every
I. I NTRODUCTION time-step, is the reason that the application of MPC has
Control theory is a branch of engineering and mathematics been limited to the slow dynamics of systems in the process
which deals with the behaviour of dynamical systems[1]. industry until recently. The boom in MPC started in 1990s
There are many control strategies in use today like intelligent when faster computer became available together with rapid
control, adaptive control, stochastic control, optimal control development of optimization algorithms. These days MPC is
etc. Optimal control is such a control technique in which we applied to various types of plants with fast dynamics such
minimize certain cost index to achieve desired performance. as airplanes, satellites, robotics, automotives etc.
The two types of optimal control techniques are
B. Purpose of this survey
• Linear Quadratic Gaussian (LQG)
• Model Predictive Control (MPC)
With our discussion above, many theoretical issues arise
in MPC by application of control law. One of the major
In this survey we consider optimization problems in Model
issues in model predictive control is finding the appropriate
Predictive Control technique only because it is most widely
optimization algorithm to be employed in order to reduce
used in industry as opposed to LQG which was termed as
future errors. In our survey, we focus on these varieties of
failure. The reasons cited for this failure are [2], [3]:
optimization methods. This is, however, a general survey
• constraints covering common optimization techniques used in MPC.
• process nonlinearities Due to space limitation, we do not go into detail of each
• model uncertainty (robustness) algorithm, rather touch many of them with little detail and
• unique performance criteria focus on general trends and methodology employed.
• cultural reasons (people, education, etc.)
C. Organization of paper
A. Brief History This paper is organized in 6 sections. Section I provides
History of optimal control can be traced back to 1960s introduction to the problem in hand, whereas Section II
when two ground breaking paper by Kalman appeared formulates the problem mathematically. In Section III and
[4], [5]. These papers were in fact the first to introduce IV we survey various optimization methods for Linear and
the algorithm for computing the state feedback gain of Nonlinear MPC respectively. Section V details some practical
the optimal controller for a linear system with a quadratic implementations of MPC in industrial processes. In section
performance criterion. Kalman introduced the notions of IV we conclude our discussion and predict some future
controllability and observability, and their exploitation in research trends.
the regulator problem, which is considered as principal
contribution of the paper. These papers had a significant II. P ROBLEM F ORMULATION
effect on researchers working in the field of optimal Model predictive control (MPC) algorithms utilize an
controls. It was this development of of Linear Quadratic explicit process model to predict the future response of a
Gaussian (LQG) controller that later led to the development plant. At each control interval an MPC algorithm attempts
of Model Predictive Control theory. MPC is basically a to optimize future plant behaviour by computing a sequence
form of LQG controller with added finite prediction horizon of future manipulated variable adjustments. The first input
and constraints handling. in the optimal sequence is then sent into the plant, and the
entire calculation is repeated at subsequent control intervals.
Unconst. infinite horizon Linear MPC = simple LQG Thus optimizer solves an optimization problem during each
sampling interval of the controller.Figure 1 shows the oper- desired behaviour we need to define the system’s future
ation of MPC residual function.
Residual = e2 (t + ih), i = 0, 1, .., n (5)
Our objective is to use appropriate optimization algorithms
and find future inputs that minimize this residual i.e., find
M in(Residual). With the value of c well defined, our
optimized input Uoptimized is now well defined. The whole
optimization procedure is depicted in Figure 2
Equation (4) scales the error by c and predicts the cal- xt+1 = Axt + But (6)
culated optimized input Uoptimized (t) based on previous yt = Cxt (7)
calculations. Equations (1),(2),(3) and (4) describe system
subject to the following constraints
behaviour for one future time step. We now iterate the four
equations for time t + h,t + 2h,.... to predict system future ymin ≤ yt ≤ ymax (8)
I/O profile similar to that shown in Figure 1. By this iteration umin ≤ ut ≤ umax (9)
we also get associated errors e(t), e(t + h), e(t + 2h) + ...
for each time step. To optimize the system i.e., minimize where xt ∈ Rn ,ut ∈ Rm and yt ∈ Rp are state, input and
the deviation between predicted output of the system from output vectors respectively. Subscripts min and max denote
lower and upper bounds respectively. Generally our objective 1. We solve this problem (12) repeatedly at eact time t
in linear MPC is minimization of cost function of the form for current measurement xt and predicted state variable,
xt+1|t , ..., xt+k|t at time steps t + 1, ..., t + k and corre-
J = xt Qx + ut Ru (10) sponding optimal control actions U ∗ = {u∗t , ..., u∗t+k−1 } is
Majority of industrial MPC applications use linear empirical obtained. The first predicted input is applied to the system as
models, therefore most of MPC products and optimization first control action i.e., ut = u∗t . This procedure is repeated
algorithms are based on this model type. at time t + 1 based on new state xt+1 .
The the tuning cost function matrix P and state feedback
B. Optimization Methods gain K is generally used to guarantee closed loop stability of
Main challenge in MPC is to find fastest ways of optimiza- ststem (12). Algebraic solution of this system depends upon
tion as time required for solving on-optimization is very lim- finding the values of P and Q matrices. P is found by the
ited. Thus we need real-time optimal solution. Sometimes we solution of discrete Lyapunov equation
find a trade off by looking for a suboptimal solution which is
P = A0 P A + Q.
less complex. Constraints are linear. Exact solution methods
are well studied for linear MPC. The optimal solution relies Assuming the problem is unconstrained, infinite horizon
on a linear dynamic model of the process, respects all input i.e., Nc = Nu = Ny = ∞ we can find the state feedback
and output constraints, and minimizes a performance figure. gain K by solving the Algebraic Ricatti equation:
This is usually expressed as a quadratic or a linear criterion,
so that the resulting optimization problem can be cast as a
quadratic program (QP) or linear program (LP), respectively, K = −(R + B 0 P B)−1 B 0 P A,
for which a rich variety of efficient active-set and interior- P = (A + BK)0 P (A + BK) + K 0 RK + Q
point solvers are available[10]. Solution of Lyapunov and Algebraic Ricatti equations is
1) Linear Programming (LP): A few authors have inves- the most popular method to find the values of K and P
tigated MPC optimization based on linear programming [6], matrices[13], [14] thus solving the problem algebraically.
[7], [8]. If we have objective function of the form
N
X −1 3) Quadratic Programming (QP): Rawlins and Morari
minJ = min ||P xN ||∞ + ||Qxk ||∞ + ||Ruk ||∞ [10], [11], [12] proved that linear MPC can be posed as
k=0 Quadratic Programming (QP) problem. If we incorporate the
(11) following realtion
subject to constraints k−1
X
xt+k|t = Ak xt + Aj But+k−1kj
Gz ≤ W + Sx(t)
j=0
then MPC law can be defined by the solution of a Linear into system represented by set of equations (12) then it gives
Program[9]. Schechter[9] proved that this is true for any us the following quadratic programming (QP) optimization
sum of convex piecewise affine costs. problem [18]
1 0 1
2) Algebraic Method: If we consider the following objec- J ∗ (xt ) = min U HU + x0t F U + x0t Y x(t) (13)
tive function: 2 2
Ny −1 subject to constraints
X
minJ = x0t+Ny |t P xt+Ny |t + x0t+k|t Qxt+k|t Gz ≤ W + Sx(t)
k=0
+u0t+k Rut+k (12) where U , [u0t , ..., u0t+N u−1 ]0 ∈ Rs , and s , mNu , is
a vector of optimization variables, H = H 0 0, and
subject to constraints H, F, Y, G, W, E matrices are obtained from state constraint
matrix S and input matrix R. MPC is applied by solving
ymin ≤ yt ≤ ymax , k = 1, 2, ..., Nc
QP problem (13) repeatedly at each time t ≥ 0 for xt , the
umin ≤ ut ≤ umax , k = 0, 1, ..., Nc current state value .Despite the fact that efficient QP solvers
and system dynamics are available to solve , computing the input ut online may
require significant computational effort [15].
xt+k+1 = Axt+k|t + But+k , k ≥ 0,
yt+k|t + Cxt+k|t , k ≥ 0, 4) Multi Parametric Quadratic Programming (mp-QP):
ut+k = Kxt+k|t , Nu ≤ k ≤ Ny , In MPC our goal is to reduce online optimization time
because system operates in real-time. These days, substantial
where matrices Q = Q0 ≥ 0, R = R0 ≥ 0 and P ≥ 0. research is being carried out to fiend more efficient opti-
Nu , Ny , Nc are input horizon, output horizon and constraint mization algorithms. Bemporad et. al. [13], [16], [17] solved
horizon respectively such that Ny ≥ Nu and Nc ≤ Ny − the problem (12) by multiparametric quadratic programming
TABLE I
IV. N ONLINEAR MPC
A DVANTAGES / D ISADVANTAGES OF OPTIMIZATION METHODS USED IN
L INEAR MPC Model predictive control (MPC), also referred to as mov-
ing horizon control or receding horizon control, has become
Algebraic LP QP Constrained QP an attractive feedback strategy, especially for linear processes
Difficulty Small Medium Large Larger [21]. Many systems are, however, in general inherently
Optimization No Yes Better Better nonlinear. This, together with higher product quality specifi-
Constraints No Yes No Yes
cations and increasing productivity demands, tighter environ-
mental regulations and demanding economical considerations
in the process industry require to operate systems closer to
(mp-QP) which avoids repetitive optimization. They trans- the boundary of the admissible operating region. In these
formed the QP problem (13) into multiparametric optimiza- cases, linear models are often not good enough to describe
tion problem by using the following linear transformation: the process dynamics and nonlinear models have to be used.
Fortunately, considerable progress has been achieved in the
z , U + H −1 F 0 xt last decade that allows to reduce both, computational delays
and approximation errors. This progress is possible by the
where z ∈ Rs is optimization variable parameter. Then QP development of dedicated real-time optimization algorithms
problem (13) can be written as following (mp-QP) problem: for NMPC and moving horizon estimation (MHE) that allows
nowadays applying NMPC to plants with tens of thousands
1
Vz (xt ) = min z 0 Hz (14) of states or to mechatronic applications. By now linear MPC
2 is widely used in industrial applications (Qin and Badgwell;
subject to constraints Garca et al; Morari and Lee; Froisy)[22]. The basic structure
of nonlinear MPC is depicted in Figure 3
Gz ≤ W + Sxt
S = E + GH −1 F 0
F (X) =
1
||R(X)||22 xi+1 − fi − Fix xi − Fiz zi − Fiu u = 0, i = 0, . . . , N − 1,
2 (29)
0
For this case Hessian is defined as gi + Gxi xi + Gzi zi + Gui ui = 0 i = 0 . . . , N − 1,
Ak = 5R(X k ) 5 R(X k )T (30)
0
the formulation, 1st generation technology. • MPC Optimization for non-linear plant models
• Robustness of MPC
• DMC (Dynamic Matrix Control) [45], 1985
• MPC for stochastic systems [49]
– Company: Shell Co.
• Adaptive MPC
– Methodology: Dynamic Matrix control
• MPC for switched / hybrid systems
– Model Type: Step response
• MPC for hierarchical / decentralized structures
– Optimization method: LP method
In future we hope to see amazing developments to fill
– Other Features: Direct interface to Honeywell MPC
in the vacuum in the field of optimal control systems.
systems, 1st generation technology.
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