An Execution-time-certified QP Algorithm for ℓ_1 penalty-based Soft-constrained MPC

Providing an execution time certificate and handling possible infeasibility in closed-loop are two pressing requirements of Model Predictive Control (MPC). To simultaneously meet these two requirements, this paper uses ℓ_1 penalty-based soft-constrained MPC formulation and innovatively transforms the resulting non-smooth QP into a box-constrained QP, which is solved by our previously proposed direct and execution-time certified algorithm with only dimension-dependent (data-independent) and exact number of iterations [1]. This approach not only overcomes the limitation of our previously proposed algorithm [1], only applicable to input-constrained MPC, but also enjoys exact recovery feature (exactly recover the same solution when the original problem is feasible) of ℓ_1 penalty-based soft-constrained MPC formulation without suffering numerical difficulty of the resulting non-smoothness. Other various real-time QP applications, not limited to MPC, will also benefit from our QP algorithm with execution-time certificate and global feasibility.