Parametric Sensitivity Analysis of NLP Problems and its Applications to Real-Time Controller Design

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1 SADCO - Sensitivity Analysis for Deterministic Controller Design Parametric Sensitivity Analysis of NLP Problems and its Applications to Real-Time Controller Design Part 1: Nonlinear Real-Time Optimization Nonlinear Real-Time Christof Büskens Optimierung & Optimale Steuerung Paris,

2 Roadmap (London) parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) (Stuttgart) method IV NLP (WORHP) method V -M (WORHP) OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

3 Overview Part I: (nonlinear open-loop nonlinear closed-loop) (How to Calculate Optimal Trajectories (in Real-Time)) - Perturbed Problems - Perturbed NLP Problems - Parametric Sensitivity Analysis / Solution Differentiability - Real Time Solution - Example: Emergancy Landing Part II: (linear closed-loop nonlinear closed-loop) (How to follow Optimal Trajectories (in Real-Time)) - Riccati-Controller - Adaptive ler - Example: Inverse Pendulum

4 NLP post optimality

5 Roadmap parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) method IV NLP (WORHP) method V -M OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

6 Perturbed NLP problems

7 Solution Differentiability

8 Advanced Sensitivity Analysis

9 post optimality real time approximation

10 Roadmap parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) method IV NLP (WORHP) method V -M OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

11 Real-Time (General Idea) Unperturbed Problem Solution Sensitivity Analysis offline Solution Sensitivities Real-Time Optimization Real-Time online

12 Real-Time

13 Large Perturbations?

14 Primary Goals of Real-Time Optimization Hierarchical AAO-order: real-time ability admissibility (feasibility) optimality

15 real time approximation repeated correction

16 Roadmap parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) method IV NLP (WORHP) method V -M OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

17 Real-Time Optimization (Extended Idea) Unperturbed Problem Solution Sensitivity Analysis offline Solution Sensitivities Real-Time Optimization Real-Time online Advanced Information Mathematical Model online

18 Real-Time Optimization (Mathematical Feedback) iterative process (Newton Type, no gradient calculations) self-correcting any-time property

19 Iterative Process Convergence? Order of convergence? Existence of a fixed point? Uniqueness of a fixed point? Order of optimality: worse, unchanged, improved?

20 Convergence of the Mathematical Feedback Strategy

21 Convergence of the Mathematical Feedback Strategy

22 theory example

23 Roadmap parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) method IV NLP (WORHP) method V -M OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

24 NLP Example

25 NLP Example

26 NLP Example

27 NLP Example

28 NLP Example Warning: large values!

29 NLP Example

30 NLP Example

31 example theory

32 Roadmap parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) method IV NLP (WORHP) method V -M OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

33 Advanced Sensitivity Analysis

34 Higher Order Sensitivities of the Objective

35 Higher Order Sensitivities

36 Improved Approximation (cheap) iterative refinement similar to q

37 2. NLP Example:

38 2. NLP Example:

39

40 Roadmap parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) method IV NLP (WORHP) method V -M OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

41 Open-Loop vs. Closed-Loop open-loop: closed-loop:

42 Expectations on a Real-Time Optimization Algorithm

43 Open-Closed-Loop Technique (idea)

44 Expectations on a Real-Time Optimization Algorithm

45 Open-Loop vs. Closed-Loop Method closed-loop Part II Part I open-loop linear nonlinear Model

46 Problems with Perturbations: ODE

47 Methods for solving Problems First Optimize then Discretize! First Discretize then Optimize! Not real-time capable

48

49 Direct approaches for OCP I: ODE

50 Direct approaches for OCP II: ODE TransWORHP [B./Knauer] WORHP: [B./Gerdts]

51 Solver TransWORHP Transcription method for WORHP > states and controls > constraints > dicretization points in time

52 Sparse NLP Solver WORHP We Optimize Really Huge Problems > variables > constraints

53 Real-Time : (Sensitivity Derivatives) Indirect Approaches (Minimumprinciple of Pontryagin) Existence of Derivatives (Still Research) [ Malanovski, Maurer, Pesch,...] Linear Perturbations (in the State) (Feedback Control Laws) [ Kelley, Breakwell, Speyer, Bryson, Ho, Pesch, Bock, Krämer Eis,...] General Perturbations (Linear Approximations) [ Maurer, Augustin, Pesch, Kugelmann,...] Direct Approaches (NLP Problems) Existence of Derivatives (NLP) [ Fiacco, Robinson,...] Convergence (Discretized OCP OCP) [ Alt, B., Dontchev, Felgenhauer, Malanowski, Maurer,...] Real Time (Linear Approximations) [ B., Maurer,...] Real Time (Nonlinear Feedback Approx.) [ B. ]

54 NLP OCP

55 Perturbed NLP problems

56 Solution Differentiability

57 z x,u

58 Roadmap parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) method IV NLP (WORHP) method V -M OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

59 Real-Time Optimization

60 Sensitivity Analysis of OCP

61 z x,u

62 Roadmap parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) method IV NLP (WORHP) method V -M OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

63 Real-Time Optimization (Mathematical Feedback) iterative process (Newton Type, no gradient calculations) self-correcting any-time property

64 Convergence of the Mathematical Feedback Strategy

65 Convergence of the Mathematical Feedback Strategy

66 theory application

67 Roadmap parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) method IV NLP (WORHP) method V -M OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

68

69 Example: Emergency Landing

70 Example: Emergency Landing

71 Example: Emergency Landing click me

72 Example: Emergency Landing

73 Example: Industrial Robot ABB IRB 6400 Forces: - centrifugal - Coriolis - gravity - frictional (dry) - restoring

74 Hierarchical and Pareto Optimization

75 Example: ABB IRB 6400 (parametric sensitivity analysis)

76 Example: ABB IRB 6400 ( Problem)

77 Example: ABB IRB 6400 (real-time optimal control) click me

78 Example: ABB IRB 6400 (real-time optimal control)

79 idea further methods

80 Roadmap parametr. sensitivity analysis realtime control prediction (NLP & OCP) repeated correction (NLP & OCP) method IV NLP (WORHP) method V -M OCP (TransWORHP) realtime trajectory prediction adaptive (Riccati-) controller (Riccati-) controller method III method II method I tools offline online feedback application

81 Sensitivity Analysis of OCP

82 Speedup Potential (Interpolation Error vs. Approximation Error) Trajectory error estimation:

83 Speedup Potential (Interpolation Error vs. Approximation Error) iterative process (Newton Type, no gradient calculation) self-correcting any-time property

84 Speedup Potential (Interpolation Error vs. Approximation Error) Potential for speedup: dynamically moving horizon iterative process abortable anytime

85 Advanced Sensitivity Analysis

86 Example: Burger s Equation

87 Numerical Results

88 Quality large foreseeable perturbations optimality robustness CPU time method V-M????????? method IV very good very good fast method III good very good very fast method II good good very fast method I OK good very fast optimality robustness CPU time method V-M????????? method IV good very good fast method III OK good very fast method II OK good very fast method I failing failing very fast large unforeseeable perturbations

89 Thank you for today!

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