Introduction To Optimization and Optimal Control Using The Software Packages CasADi and ACADO

Optimization
Optimal Control
Conclusion
Introduction to Optimization and Optimal Control

using the software packages CasADi and ACADO
Adriaen Verheyleweghen and Christoph Backi
Subsea Production and Processing

Department of Chemical Engineering
Norwegian University of Science and Technology
October 27, 2016
Verheyleweghen & Backi Optimization & Optimal Control

Optimization
Optimal Control
Conclusion
Installation
For CasADi:
Download the files from GitHub and add them to your MATLAB /
Python path - done.

Optimization
Optimal Control
Conclusion
Installation
For CasADi:
Python path - done.
For ACADO:
You need: MATLAB, a C/C++ compiler and the ACADO files
Download from https://github.com/acado/acado
Go to https://sourceforge.net/p/acado/wiki/MATLAB
Interface - Getting Started/ and follow the instructions.
Link the C/C++ compiler to MATLAB and then build the
ACADO interface in MATLAB

General principle - Mathematical Optimization
CasADi Software
Optimization
Linear Programming
Optimal Control
Quadratic Programming
Conclusion
Nonlinear Programming
Integration
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Introduction
Mathematically speaking, optimization is the minimization or

maximization of a function subject to constraints on its variables.

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Introduction

x is the vector of variables, also called unknowns or parameters

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Introduction

V is the objective function, a (scalar) function of x that we
want to maximize or minimize

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Introduction

V is the objective function, a (scalar) function of x that we
want to maximize or minimize
gi and hj are constraint functions, which are scalar functions
of x that define certain equalities and inequalities that the
unknown vector x must satisfy.

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Notation
min V (x) subject to gi (x) ≤ 0, i = 1, . . . , m

x∈R
hj (x) = 0, j = 1, . . . , p,
with V (x) objective function, gi (x) inequality constraints and
hj (x) equality constraints.

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Notation

x∈R
hj (x) = 0, j = 1, . . . , p,
A maximization problem for the objective V (x) is simply
min V (x) = max − V (x).
x∈R x∈R

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Notation

x∈R
hj (x) = 0, j = 1, . . . , p,
A maximization problem for the objective V (x) is simply
min V (x) = max − V (x).
x∈R x∈R
The minimization problem formulated as a maximization problem
min − V (x) subject to gi (x) ≤ 0, i = 1, . . . , m
x∈R
hj (x) = 0, j = 1, . . . , p.
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Terminology
Unconstrained and constrained optimization:

Most technical and engineering applications are constrained by e.g.
the dynamics of the system, environmental factors, technical
limitations.

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Terminology
Unconstrained and constrained optimization:

Most technical and engineering applications are constrained by e.g.
the dynamics of the system, environmental factors, technical
limitations.

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Terminology
Local and global optimization:

Many algorithms only look for a local solution, which need less
computational power compared to global solutions.

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Terminology
Local and global optimization:

Many algorithms only look for a local solution, which need less
computational power compared to global solutions.

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Terminology
Convexity:
Convex problems are generally easier to solve. Convexity often
holds for the objective function, however, in order to obtain a
convex programming problem, the equality constraints must be
linear and the inequality constraints convex.

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Terminology
Convexity:
Convex problems are generally easier to solve. Convexity often
holds for the objective function, however, in order to obtain a
convex programming problem, the equality constraints must be
linear and the inequality constraints convex.

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi
CasADi
What is it?
Tool for Algorithmic Differentiation (ADi) with syntax
borrowed from Computer algebra systems (Cas)
Interfaces with optimization software such as IPOPT,
qpOASES, SNOPT, fmincon etc.

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi
CasADi
What is it?
Tool for Algorithmic Differentiation (ADi) with syntax
borrowed from Computer algebra systems (Cas)
Interfaces with optimization software such as IPOPT,
qpOASES, SNOPT, fmincon etc.
What is it not?
Not an optimization software
Not a conventional AD tool, that can be used on existing user
code with little to no modification
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi
Algorithmic differentiation?
AD generates an expression graph of the program, then uses

chain rule to find derivatives

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi

Example:
z = f (x1 , x2 )
= x1 x2 + sin(x1 )

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi

f (x1 , x2 )
Example:
z = f (x1 , x2 )
w5 +
= x1 x2 + sin(x1 )
= w1 w2 + sin(w1 ) w4 sin ∗ w3
= w3 + w4
= w5
w1 x1 x2 w2

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi

f (x1 , x2 )
Example:
ẇ5 = ẇ3 + ẇ4
z = f (x1 , x2 )
w5 +
= x1 x2 + sin(x1 ) ẇ4 = cos(w1 )ẇ1 ẇ3 = ẇ1 w2 + w1 ẇ2
= w1 w2 + sin(w1 ) w4 sin ∗ w3
= w3 + w4 ẇ 1
ẇ1 ẇ2
= w5
w1 x1 x2 w2

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi
Why bother?
sympy
100
Time to generate graph [s]
10−1
10−2
10−3
10−4 0
10 101 102 103 104
Number of variables

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi
Why bother?
sympy
100 yalmip
mupad
10−1
10−2
10−3
10−4 0
10 101 102 103 104
Number of variables

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi
Why bother?
sympy
100 yalmip
mupad
casadi
10−1
10−2
10−3
10−4 0
10 101 102 103 104
Number of variables

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi
Why bother?
sympy
100 yalmip
mupad
casadi
10−1
10−2 Flexibility of
programming
10−3 language
Performance of
10−4 0
10 101 102 103 104 modeling language
Number of variables

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - Syntax
addpath ( ' path / c a s a d i ' )

import casadi .∗ % Import c a s a d i
r = SX . sym ( ' r ' ) ; % Declare symbolic v a r i a b l e s

V = 4/3∗ p i ∗ r ˆ 3 ; % E x p r e s s i o n w i t h sym . v a r s .
A = j a c o b i a n (V , r ) ; % D e r i v a t i v e of V wrt r
f = F u n c t i o n ( ' f ' , { r } , {A} ) ; % C a l l −a b l e f u n c t i o n
f (1) % Evaluate function
1
Python/C++ also available
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - Syntax
addpath ( ' path / c a s a d i ' )

import casadi .∗ % Import c a s a d i
r = SX . sym ( ' r ' ) ; % Declare symbolic v a r i a b l e s

V = 4/3∗ p i ∗ r ˆ 3 ; % E x p r e s s i o n w i t h sym . v a r s .
A = j a c o b i a n (V , r ) ; % D e r i v a t i v e of V wrt r
f = F u n c t i o n ( ' f ' , { r } , {A} ) ; % C a l l −a b l e f u n c t i o n
f (1) % Evaluate function
1
Python/C++ also available
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - LP example
Example 1 - Linear programming
Farmer wants to grow apples and bananas
Acreage needed Fertilizer needed Profit

[m2 /ton] [kg/ton] [NOK/ton]
A 4000 60 7000
B 3000 80 6000
Farmer has a field of 100 000 m2 and can legally use no more than
2000 kg fertilizer.
What to plant?
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - LP example
min c | x
x
subject to
Ax ≤b
xl ≤x
where

−7000 4000 3000 100000 0
c= A= b= xl =
−6000 60 80 2000 0
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - LP example
B
30
min c | x
x
subject to 20
Ax ≤b
10
xl ≤x
where
A
10 20 30

−7000 4000 3000 100000 0
c= A= b= xl =
−6000 60 80 2000 0
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - LP example
B
30
min c | x
x
subject to 20
Ax ≤b
10
xl ≤x Feasible region
where
A
10 20 30

−7000 4000 3000 100000 0
c= A= b= xl =
−6000 60 80 2000 0
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - LP example
B
30
min c | x
x
subject to 20
Ax ≤b Optimal solution
10
xl ≤x
where
A
10 20 30

−7000 4000 3000 100000 0
c= A= b= xl =
−6000 60 80 2000 0
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - LP example
c = [ −7000; −6000]; % Objective function coeffs
A = [4000 ,3000;60 ,80]; % Constraints lhs
b = [100000;2000]; % Constraint rhs
lb = [ 0 ; 0 ] ; % Lower bounds on x
ub = [ i n f ; i n f ] ; % Upper bounds on x
x = SX . sym ( ' x ' , 2 ) ; % Create symbolic v a r i a b l e s
p r o b s t r u c t = s t r u c t ( ' x ' , x , ' f ' , c ' ∗ x , ' g ' ,A∗x−b ) ;

s o l v e r = qpsol ( ' s o l v e r ' , ' qpoases ' , p r o b s t r u c t ) ;
s o l = s o l v e r ( ' x0 ' , [ 1 ; 1 ] , ...

' l b g ' ,[ − i n f ;− i n f ] , ' ubg ' , [ 0 ; 0 ] , ...
' l b x ' , l b , ' ubx ' , ub ) ;
solx = sol . x ; % Optimal s o l u t i o n

solf = sol . f ; % Objective function value

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - LP example
c = [ −7000; −6000]; % Objective function coeffs
p r o b s t r u c t = s t r u c t ( ' x ' , x , ' f ' , c ' ∗ x , ' g ' ,A∗x−b ) ;

solver = qpsol ( ' s o l v e r ' , ' qpoases ' , p r o b s t r u c t ) ;
s o l = s o l v e r ( ' x0 ' , [ 1 ; 1 ] , ...

' l b g ' ,[ − i n f ;− i n f ] , ' ubg ' , [ 0 ; 0 ] , ...
' l b x ' , l b , ' ubx ' , ub ) ;
solx = sol . x ; % Optimal s o l u t i o n

solf = sol . f ; % Objective function value

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - QP example
What if profit depends on production? (market saturation etc.)
Profit for A (x1 ) is 7000 − 200x1
Profit for B (x2 ) is 6000 − 140x2

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - QP example
Profit for A (x1 ) is 7000 − 200x1 B
Profit for B (x2 ) is 6000 − 140x2 30
min c | x + x | Qx
x 20
subject to
Ax ≤b 10
xl ≤x
A
where 10 20 30

2 0 −70 40 30 1000 0
Q= c= A= b= xl =
0 1.4 −60 0.6 0.8 20 0
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - QP example
Profit for B (x2 ) is 6000 − 140x2 30
min c | x + x | Qx
x 20
subject to
Ax ≤b 10
Feasible region
xl ≤x
A
where 10 20 30

2 0 −70 40 30 1000 0
Q= c= A= b= xl =
0 1.4 −60 0.6 0.8 20 0
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - QP example
Profit for B (x2 ) is 6000 − 140x2 30
min c | x + x | Qx
x 20
subject to
Ax ≤b 10
Optimal solution
xl ≤x
A
where 10 20 30

2 0 −70 40 30 1000 0
Q= c= A= b= xl =
0 1.4 −60 0.6 0.8 20 0
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - QP example
Q = [100 ,0;0 ,200]; % Q u a d r a t i c term

c = [ −7000; −6000]; % L i n e a r term
p r o b s t r u c t = s t r u c t ( ' x ' , x , ' f ' , c ' ∗ x+x ' ∗Q∗x , ' g ' ,A∗x−b ) ;
solver = qpsol ( ' s o l v e r ' , ' qpoases ' , p r o b s t r u c t ) ;
s o l = s o l v e r ( ' x0 ' , [ 1 ; 1 ] , ...

' l b g ' ,[ − i n f ;− i n f ] , ' ubg ' , [ 0 ; 0 ] , ...
' l b x ' , l b , ' ubx ' , ub ) ;

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Nonlinear programming (NLP)
Hard(er) to solve due to:
Non-convexity / Non-smoothness / Discontinuity /

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Hard(er) to solve due to:
Non-convexity / Non-smoothness / Discontinuity /
But: Smart tricks in solvers allow efficient calculation! ,

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
But: Smart tricks in solvers allow efficient calculation! ,
Change from:
s o l v e r = qpsol ( ' s o l v e r ' , ' qpoases ' , p r o b s t r u c t ) ;
to:
solver = nlpsol ( ' solver ' , ' ipopt ' , prob struct ) ;

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - Integrator example

Throwing of rocks
What does the trajectory look like?

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration

Throwing of rocks

py
dpx dvx
= vx = ax = 0 θ
dt dt
dpy dvy
= vy = ay = −g
dt dt py0
px

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration

Throwing of rocks

py
dpx dvx
= vx = ax = 0 θ
dt dt
dpy dvy
= vy = ay = −g
dt dt py0
px
Initial conditions:
px,0 = 0 m, py ,0 = 1 m, vx,0 = v0 cos(θ), vy ,0 = v0 sin(θ)

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - Integration example
import casadi .∗
v=MX. sym ( ' v ' , 2 ) ; % Velocity

p=MX. sym ( ' p ' , 2 ) ; % Position
t h e t a = MX. sym ( ' t h e t a ' ) ; % Angle o f throw
t f = MX. sym ( ' t f ' ) ; % Time o f f l i g h t
x = [v;p]; % State v a r i a b l e s
p = [ theta ; tf ] ; % Parameters
dv = [ 0 ; − 9 . 8 1 ] ; % D i f f e r e n t i a l equations
dp = v ;
dx = [ dv ; dp ] . ∗ t f ;

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - Integration example

MX - matrix valued operations (necessary to embed integrator in
symbolic expression)
import casadi .∗
v=MX. sym ( ' v ' , 2 ) ; % Velocity

p=MX. sym ( ' p ' , 2 ) ; % Position
t h e t a = MX. sym ( ' t h e t a ' ) ; % Angle o f throw
t f = MX. sym ( ' t f ' ) ; % Time o f f l i g h t
x = [v;p]; % State v a r i a b l e s
p = [ theta ; tf ] ; % Parameters
dv = [ 0 ; − 9 . 8 1 ] ; % D i f f e r e n t i a l equations
dp = v ;
dx = [ dv ; dp ] . ∗ t f ;

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - Integration example cont’d
v0 = 2 0 ; % Initial velocity
p r o b s t r u c t=s t r u c t ( ' x ' , x , ' ode ' , dx , ' p ' , p ) ;

opts = s t r u c t ( ' grid ' , l i n s p a c e (0 ,1 ,100) ) ;
F = integrator ( 'F ' , ' cvodes ' , prob struct , opts ) ;
a =45;
Fk = F ( ' x0 ' , [ v0 ∗ c o s ( a ) ; v0 ∗ s i n ( a ) ; 0 ; 1 ] , ' p ' , [ a , 3 . 5 ] ) ;
X = f u l l ( Fk . x f ) ' ;
p l o t (X ( : , 3 ) ,X ( : , 4 ) )

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
CasADi - Single shooting
How to maximize throw distance?

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
How to maximize throw distance?

min −px (θ)
θ tf
subject to
t=t
Z f
dp
ptf = dt + pt0
dt
t=0
py ≥ 0

CasADi Software
Optimization
Linear Programming
Optimal Control
Conclusion
Integration
F = integrator ( 'F ' , ' cvodes ' , prob struct , opts ) ;

x0 = [ v0 ∗ c o s ( t h e t a ) ; v0 ∗ s i n ( t h e t a ) ; 0 ; 1 ] ;
Fk = F ( ' x0 ' , x0 , ' p ' , [ t h e t a , t f i n a l ] ) ;
Xk = Fk . x f ; % Expression f o r s t a t e s at t f
x = [ v ; p ; theta ; tf ] ; % Decision variables

p r o b = s t r u c t ( ' x ' , x , ' f ' ,−p ( 1 ) , ' g ' , [ v ; p]−Xk ) ;
s o l v e r = n l p s o l ( ' s o l v e r ' , ' i p o p t ' , prob ) ;
s o l = s o l v e r ( ' x0 ' , [ 1 ; 1 ; 5 ; 0 ; p i / 6 ; 5 ] , ...

' lbg ' , [ 0 ; 0 ; 0 ; 0 ] , ...
' ubg ' , [ 0 ; 0 ; 0 ; 0 ] , ...
' lbx ' , [ 0 ; −i n f ; 0; 0; 0; 0] , ...
' ubx ' , [ i n f ; i n f ; i n f ; i n f ; p i / 2 ; i n f ] ) ;

Optimization General principle
Optimal Control ACADO Software
Conclusion Examples
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
Conclusion Examples
Control explained
What is control / automatic control?

Conclusion Examples
Control explained
What is control / automatic control?

Conclusion Examples
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
Conclusion Examples
Dynamic Optimization
Use optimization tools to calculate optimal input function

minimizing a cost function over a (fixed) time horizon subject
to the dynamical system and other constraints from e.g.
physical limitations

Conclusion Examples

Focus here on Direct methods: Finite discretization in time
(first discretize, then optimize)

Conclusion Examples

- Sequential (single / multiple shooting) and simultaneous
(collocation) approaches

Conclusion Examples

- Sequential (single / multiple shooting) and simultaneous
(collocation) approaches
- Most commonly used for solving Optimal Control Problems,
but ”only” suboptimal / approximate solution

Conclusion Examples
Notation
min V (x, u)
u∈U
subject to ẋ − f (x, u) = 0
gi (x, u) ≤ 0, i = 1, . . . , m
hj (x, u) = 0, j = 1, . . . , p,
with V (x, u) objective function
ẋ − f (x, u) = 0 dynamic constraints
gi (x, u) inequality constraints
hj (x, u) equality constraints
U the feasible set of inputs

Conclusion Examples
Single shooting

Conclusion Examples
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
Conclusion Examples
Use and basic structure
With ACADO (Automatic Control And Dynamic Optimization),

different Optimal Control Problems can be solved

Conclusion Examples

Offline dynamic optimization
Parameter and state estimation
Model Predictive Control

Conclusion Examples

ACADO has user-friendly MATLAB implementation with
automatic C++ code generation

Conclusion Examples

ACADO has user-friendly MATLAB implementation with
automatic C++ code generation
ACADO is built up object-oriented and consists of so called base
classes, where lower classes inherit from their base class. ACADO
classes can be replaced by external classes or used stand-alone

Conclusion Examples
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
Conclusion Examples
Compressor surge control

1.5
1
← Throttle charact. Φ
← Compr. charact. Ψ
← setpoint
0.5
ψ
0
CCV Throttle
−0.5
−0.4 −0.2 0 0.2 0.4 0.6 0.8
Compressor Plenum φ
1 p √
ψ̇ = x˙1 = x2 − γ x1 + x10 − x10
B
φ̇ = x˙2 = B −k3 x23 − k2 x22 − k1 x2 − x1 − u


Conclusion Examples
Compressor surge control - simple
Z 20
min V = P(x1 − x1ref )2 + Q(x2 − x2ref )2 + R(u − u ref )2 dt
u 0
1 p √
subject to x˙1 = x2 − γ x1 + x10 − x10
B
x˙2 = B −k3 x23 − k2 x22 − k1 x2 − x1 − u

0 ≤ u(t) ≤ 0.2
x1 (0) = 0.1
x2 (0) = 0

Conclusion Examples
ACADO - Syntax
BEGIN ACADO ;
a c a d o S e t ( ' problemname ' , ' c o m p r e s s o r c o n t r o l s i m p l e ' ) ;
D i f f e r e n t i a l S t a t e x1 x2 ; C o n t r o l u ;
f = acado . D i f f e r e n t i a l E q u a t i o n ( ) ;
f . add ( d o t ( x1 ) == 1/B∗( x2−gamma ∗ ( ( x1+x10 ) ˆ ( 1 / 2 )−(x10 ) ˆ ( 1 / 2 ) ) ) ) ;
f . add ( d o t ( x2 ) == B∗(−k3 ∗ x2ˆ3−k2 ∗ x2ˆ2−k1∗x2−x1−u ) ) ;
S = 1 e2 ∗ e y e ( 3 ) ; S ( 1 , 1 ) = 1 e2 ; h = {u x1 x2 } ; r = [ 0 0 0 ] ;
ocp = a c a d o . OCP ( 0 . 0 , 2 0 , 5 0 ) ;
ocp . minimizeLSQ ( S , h , r ) ;
ocp . s u b j e c t T o ( f ) ;
ocp . s u b j e c t T o ( 'AT START ' , x1 == 0 . 1 ) ; ocp . s u b j e c t T o ( 'AT START ' , x2 == 0 ) ;
ocp . s u b j e c t T o ( 0 <= u <= 0 . 2 ) ;
a l g o=a c a d o . O p t i m i z a t i o n A l g o r i t h m ( ocp ) ;
a l g o . s e t ( 'KKT TOLERANCE ' , 1 e−6 ) ;
a l g o . s e t ( 'INTEGRATOR TYPE ' , ' INT RK45 ' ) ;
a l g o . s e t ( ' HESSIAN APPROXIMATION ' , 'GAUSS NEWTON ' ) ;
a l g o . s e t ( ' DISCRETIZATION TYPE ' , 'COLLOCATION ' ) ;
END ACADO ;
out = co m p re s so r c on t r ol s i mp l e R U N ( ) ;

Conclusion Examples
Compressor surge control – more advanced
Z τ
min V = P(x1 − x1ref )2 + Q(x2 − x2ref )2 + R(u − u ref )2
w 0
+ O(w − w ref )2 + W (τ − τ ref ) dt
1 p √
subject to x˙1 = x2 − γ x1 + x10 − x10
B
x˙2 = B −k3 x23 − k2 x22 − k1 x2 − x1 − u

u̇ = w
0 ≤ u(t) ≤ 0.2, −0.1 ≤ w ≤ 0.1
15 ≤ τ ≤ 25
x1 (0) = 0.1, x2 (0) = 0
Conclusion Examples
ACADO - Syntax
BEGIN ACADO ;
a c a d o S e t ( ' problemname ' , ' c o m p r e s s o r c o n t r o l ' ) ;
D i f f e r e n t i a l S t a t e x1 x2 u ; C o n t r o l w ; P a r a m e t e r t a u ;
f = acado . D i f f e r e n t i a l E q u a t i o n ( 0 , tau ) ;
f . add ( d o t ( x1 ) == 1/B∗( x2−gamma ∗ ( ( x1+x10 ) ˆ ( 1 / 2 )−(x10 ) ˆ ( 1 / 2 ) ) ) ) ;
f . add ( d o t ( x2 ) == B∗(−k3 ∗ x2ˆ3−k2 ∗ x2ˆ2−k1∗x2−x1−u ) ) ;
f . add ( d o t ( u ) == w) ;
S = 1 e2 ∗ e y e ( 5 ) ; h = { t a u w u x1 x2 } ; r = [ 2 0 0 0 0 0 ] ;
ocp = a c a d o . OCP ( 0 . 0 , tau , 5 0 ) ;
ocp . s u b j e c t T o ( 'AT START ' , x1 == 0 . 1 ) ; ocp . s u b j e c t T o ( 'AT START ' , x2 == 0 ) ;
ocp . s u b j e c t T o ( 0 <= u <= 0 . 2 ) ;
ocp . s u b j e c t T o ( −0.1 <= w <= 0 . 1 ) ;
ocp . s u b j e c t T o ( 15 <= t a u <= 25 ) ;
a l g o . s e t ( ' DISCRETIZATION TYPE ' , 'COLLOCATION ' ) ;
END ACADO ;
out = compressor control RUN ( ) ;

Conclusion Examples
Freezing of a block of foodstuff

Conclusion Examples

Conclusion Examples
Temperature
Freezing Thermal arrest

point
Time

Conclusion Examples
Temperature
Freezing Thermal arrest

point
Time
ρ(T )c(T )Tt = [λ(T )Tx ]x = λT (T )Tx2 + λ(T )Txx
⇒ Tt = κ(T )Tx2 + k(T )Txx
with T (t, 0) = T (t, L) = u.

Conclusion Examples
Problem description
Z τ
min V = (T − T ref )T P(T − T ref ) + Q(u − u ref )2
v 0
+ R(v − v ref )2 + W (τ − τ ref )2 dt
Ṫ − f (T , u) = 0 T (0) = 280 · 1(9×1)

u̇ = v u(0) = 235
subject to 235 ≤ u(t) ≤ 255 T (τ ) ∈ T
−0.01 ≤ v ≤ 0.01 T (t) ≥ 245
6000 ≤ τ ≤ 10000

Conclusion Examples
ACADO - Syntax
BEGIN ACADO ;
a c a d o S e t ( ' problemname ' , ' f r e e z i n g ' ) ;
D i f f e r e n t i a l S t a t e T1 T2 T3 T4 T5 T6 T7 T8 T9 u ; P a r a m e t e r t a u ; C o n t r o l v ;
f = acado . D i f f e r e n t i a l E q u a t i o n ( 0 , tau ) ;
f . add ( d o t ( T1 ) == kappa ( T1 ) / ( 0 . 1 / 9 ) ˆ2∗( T1−u ) ˆ2 + k ( T1 ) / ( 0 . 1 / 9 ) ˆ2∗( T2−2∗T1+u ) ) ; ...
f . add ( d o t ( u ) == v ) ;
S = 1 e3 ∗ e y e ( 1 2 ) ; S ( 1 , 1 ) = 1 e1 ; S ( 2 , 2 ) = 1 e1 ; S ( 3 , 3 ) = 1 e −1;
h = {u v t a u T1 T2 T3 T4 T5 T6 T7 T8 T9 } ;
r = [ 2 5 5 0 8000 251 2 5 1 . 5 252 2 5 2 . 5 253 2 5 2 . 5 252 2 5 1 . 5 2 5 1 ] ;
ocp = a c a d o . OCP ( 0 . 0 , tau , 1 0 0 ) ;
ocp . s u b j e c t T o ( 'AT START ' , T1 == x0 ( 1 ) ) ; ...
ocp . s u b j e c t T o ( 'AT END ' , 250 <= T1 <= 2 5 2 ) ; ...
ocp . s u b j e c t T o ( T1 >= 2 4 5 ) ; ...
ocp . s u b j e c t T o ( 6000 <= t a u <= 10000 ) ;
ocp . s u b j e c t T o ( 235 <= u <= 255 ) ;
ocp . s u b j e c t T o ( −0.01 <= v <= 0 . 0 1 ) ;
a l g o . s e t ( ' DISCRETIZATION TYPE ' , ' SINGLE SHOOTING ' ) ;
END ACADO ;
out = freezing RUN ( ) ;

Optimization
Optimal Control Installation
Conclusion
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
Optimization
Conclusion
When to use what
Use CasADi when solving simple problems (LPs, QPs or NLPs) or

when flexibility is needed.

Optimization
Conclusion
When to use what
Use CasADi when solving simple problems (LPs, QPs or NLPs) or

when flexibility is needed.
Use ACADO when you want to find an optimal input function to a
set of dynamic equations (ODEs / DAEs) subject to constraints.
Danger: Infeasible solutions for e.g. too short time horizons, too
tight constraints, etc.

Optimization
Conclusion
Outline
1 Optimization
CasADi Software
Linear Programming
Integration
2 Optimal Control
General principle
ACADO Software
Examples
3 Conclusion
Installation
Optimization
Conclusion
Procedure and requirements
For CasADi:
Python path - done.

Optimization
Conclusion
Procedure and requirements
For CasADi:
Python path - done.
For ACADO:
You need: MATLAB, a C/C++ compiler and the ACADO files
Download from https://github.com/acado/acado
Go to https://sourceforge.net/p/acado/wiki/MATLAB
Interface - Getting Started/ and follow the instructions.
Link the C/C++ compiler to MATLAB and then build the
ACADO interface in MATLAB

Optimization
Conclusion
Further Reading
[1] Jorge Nocedal & Stephen J. Wright –

Numerical Optimization. Springer, Second Edition, 2006.
[2] Moritz Diehl & Sebastien Gros –
Numerical Optimization of Dynamic Systems (Draft). 2016.
[3] David Ariens, Hans J. Ferreau, Boris Houska & Filip Logist –
ACADO for Matlab User’s Manual
[4] David Ariens, Moritz Diehl, Hans J. Ferreau, Boris Houska
Filip Logist, Rien Quirynen & Milan Vukov –
ACADO Toolkit User’s Manual

Introduction To Optimization and Optimal Control Using The Software Packages CasADi and ACADO

Enviado por

Dados do documento

Título original

Direitos autorais

Compartilhar este documento

Compartilhar ou incorporar documento

Opções de compartilhamento

Você considera este documento útil?

Este conteúdo é inapropriado?

Direitos autorais:

Introduction To Optimization and Optimal Control Using The Software Packages CasADi and ACADO

Enviado por

Direitos autorais:

Optimization

Introduction to Optimization and Optimal Control

Adriaen Verheyleweghen and Christoph Backi

Subsea Production and Processing

October 27, 2016

Verheyleweghen & Backi Optimization & Optimal Control

Verheyleweghen & Backi Optimization & Optimal Control

Verheyleweghen & Backi Optimization & Optimal Control

Mathematically speaking, optimization is the minimization or

Verheyleweghen & Backi Optimization & Optimal Control

Mathematically speaking, optimization is the minimization or

Verheyleweghen & Backi Optimization & Optimal Control

Mathematically speaking, optimization is the minimization or

Verheyleweghen & Backi Optimization & Optimal Control

Mathematically speaking, optimization is the minimization or

Verheyleweghen & Backi Optimization & Optimal Control

min V (x) subject to gi (x) ≤ 0, i = 1, . . . , m

Verheyleweghen & Backi Optimization & Optimal Control

min V (x) subject to gi (x) ≤ 0, i = 1, . . . , m

Verheyleweghen & Backi Optimization & Optimal Control

min V (x) subject to gi (x) ≤ 0, i = 1, . . . , m

Unconstrained and constrained optimization:

Verheyleweghen & Backi Optimization & Optimal Control

Unconstrained and constrained optimization:

Verheyleweghen & Backi Optimization & Optimal Control

Local and global optimization:

Verheyleweghen & Backi Optimization & Optimal Control

Local and global optimization:

Verheyleweghen & Backi Optimization & Optimal Control

Verheyleweghen & Backi Optimization & Optimal Control

Verheyleweghen & Backi Optimization & Optimal Control

Verheyleweghen & Backi Optimization & Optimal Control

AD generates an expression graph of the program, then uses

Verheyleweghen & Backi Optimization & Optimal Control

AD generates an expression graph of the program, then uses

Verheyleweghen & Backi Optimization & Optimal Control

AD generates an expression graph of the program, then uses

Verheyleweghen & Backi Optimization & Optimal Control

AD generates an expression graph of the program, then uses

Verheyleweghen & Backi Optimization & Optimal Control

Verheyleweghen & Backi Optimization & Optimal Control

Verheyleweghen & Backi Optimization & Optimal Control

Verheyleweghen & Backi Optimization & Optimal Control

Verheyleweghen & Backi Optimization & Optimal Control

addpath ( ' path / c a s a d i ' )

r = SX . sym ( ' r ' ) ; % Declare symbolic v a r i a b l e s

f = F u n c t i o n ( ' f ' , { r } , {A} ) ; % C a l l −a b l e f u n c t i o n

f (1) % Evaluate function

addpath ( ' path / c a s a d i ' )

r = SX . sym ( ' r ' ) ; % Declare symbolic v a r i a b l e s

f = F u n c t i o n ( ' f ' , { r } , {A} ) ; % C a l l −a b l e f u n c t i o n

f (1) % Evaluate function

Acreage needed Fertilizer needed Profit

p r o b s t r u c t = s t r u c t ( ' x ' , x , ' f ' , c ' ∗ x , ' g ' ,A∗x−b ) ;

s o l = s o l v e r ( ' x0 ' , [ 1 ; 1 ] , ...

solx = sol . x ; % Optimal s o l u t i o n

Verheyleweghen & Backi Optimization & Optimal Control

p r o b s t r u c t = s t r u c t ( ' x ' , x , ' f ' , c ' ∗ x , ' g ' ,A∗x−b ) ;

s o l = s o l v e r ( ' x0 ' , [ 1 ; 1 ] , ...

solx = sol . x ; % Optimal s o l u t i o n

Verheyleweghen & Backi Optimization & Optimal Control

Verheyleweghen & Backi Optimization & Optimal Control

Q = [100 ,0;0 ,200]; % Q u a d r a t i c term

s o l = s o l v e r ( ' x0 ' , [ 1 ; 1 ] , ...

Verheyleweghen & Backi Optimization & Optimal Control

Nonlinear programming (NLP)