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An Algorithm for Approximate Multiparametric Convex Programming

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Abstract

For multiparametric convex nonlinear programming problems we propose a recursive algorithm for approximating, within a given suboptimality tolerance, the value function and an optimizer as functions of the parameters. The approximate solution is expressed as a piecewise affine function over a simplicial partition of a subset of the feasible parameters, and it is organized over a tree structure for efficiency of evaluation. Adaptations of the algorithm to deal with multiparametric semidefinite programming and multiparametric geometric programming are provided and exemplified. The approach is relevant for real-time implementation of several optimization-based feedback control strategies.

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Correspondence to Alberto Bemporad.

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Bemporad, A., Filippi, C. An Algorithm for Approximate Multiparametric Convex Programming. Comput Optim Applic 35, 87–108 (2006). https://doi.org/10.1007/s10589-006-6447-z

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  • DOI: https://doi.org/10.1007/s10589-006-6447-z

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