A Nonlinear Model Predictive Control Perspective on Gradient-Based Optimization: A New Efficient, Parameter-Free and Provably Stable Algorithm
TL;DR
A new algorithm, termed Search and Accelerate (SaA) is proposed that mixes together a novel line search, a trust region mechanism together with an adaptation of the gradient acceleration scheme to make it a highly competitive general purpose gradient-based alternative for box-constrained optimization problems.
Abstract
This paper discusses some aspects related to gradient-based optimization algorithms with special focus on the requirements associated to their use in the implementation of Nonlinear Model Predictive Control. Based on a dedicated discussion, a new algorithm, termed Search and Accelerate (SaA) is proposed that mixes together a novel line search, a trust region mechanism together with an adaptation of the gradient acceleration scheme. A dedicated benchmark involving a set of 600 instances of box constrained optimization problems is designed and used in order to show the algorithm performances which make it a highly competitive general purpose gradient-based alternative for box-constrained optimization problems. An appealing feature of the algorithm is its robustness to the choice of the few parameters involved in its definition making the default values a valid option for any problem without a priori knowledge of the related Lipchitz constant. Moreover, an example of use of the proposed algorithm in NMPC implementation is proposed showing the possibility to reduce the control updating period which might be mandatory in some circumstances.