A double‐layer Jacobi method for partial differential equation‐constrained nonlinear model predictive control

Abstract

AbstractThis paper presents a real‐time optimization method for nonlinear model predictive control (NMPC) of systems governed by partial differential equations (PDEs). The NMPC problem to be solved is formulated by discretizing the PDE system in space and time by using the finite difference method. The proposed method is called the double‐layer Jacobi method, which exploits both the spatial and temporal sparsities of the PDE‐constrained NMPC problem. In the upper layer, the NMPC problem is solved by ignoring the temporal couplings of either the state or costate (Lagrange multiplier corresponding to the state equation) equations so that the spatial sparsity is preserved. The lower‐layer Jacobi method is a linear solver dedicated to PDE‐constrained NMPC problems by exploiting the spatial sparsity. Convergence analysis indicates that the convergence of the proposed method is related to the prediction horizon. Results of a numerical experiment of controlling a heat transfer process show that the proposed method can be two orders of magnitude faster than the conventional Newton's method exploiting the banded structure of NMPC problems.