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arXiv · 2212.04391

Gauss-Newton meets PANOC: A fast and globally convergent algorithm for nonlinear optimal control

Pieter Pas·Andreas Themelis·Panagiotis Patrinos
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Abstract

PANOC is an algorithm for nonconvex optimization that has recently gained popularity in real-time control applications due to its fast, global convergence. The present work proposes a variant of PANOC that makes use of Gauss-Newton directions to accelerate the method. Furthermore, we show that when applied to optimal control problems, the computation of this Gauss-Newton step can be cast as a linear quadratic regulator (LQR) problem, allowing for an efficient solution through the Riccati recursion. Finally, we demonstrate that the proposed algorithm is more than twice as fast as the traditional L-BFGS variant of PANOC when applied to an optimal control benchmark problem, and that the performance scales favorably with increasing horizon length.

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Pieter Pas, Andreas Themelis, Panagiotis Patrinos. 2022-12-08. Gauss-Newton meets PANOC: A fast and globally convergent algorithm for nonlinear optimal control. https://doi.org/10.1016/j.ifacol.2023.10.1254

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