Scalable iterations for solving constrained LQ control problems with cascade dynamics

Abstract

This paper is about the computation of constrained optimal controls for series interconnections of heterogeneous sub-systems with linear discrete-time dynamics. The optimal control problem is first formulated in a form that is amenable to iterative solution by the alternating direction method of multipliers (ADMM). It is observed that this technique yields per-iteration computational burden that scales linearly in the both the number of systems along the cascade and the length of the time-horizon. Moreover, parallelization of the computation across a network of processors is possible with an information exchange architecture that mirrors the cascade structure of the system. Recent work, whic..