Control policies that involve the real-time solution of one or more convex optimization problems include model predictive (or receding horizon) control, approximate dynamic programming, and optimization based actuator allocation systems. They have been widely used in applications with slower dynamics, such as chemical process control, supply chain systems, and quantitative trading, and are now starting to appear in systems with faster dynamics. In this talk I will describe a number of advances over the last decade or so that make such policies easier to design, tune, and deploy. We describe solution algorithms that are extremely robust, even in some cases division free, and code generation systems that transform a problem description expressed in a high level domain specific language into source code for a real-time solver suitable for control. The recent development of systems for automatically differentiating through a convex optimization problem can be used to efficiently tune or design control policies that include embedded convex optimization.
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