SVR-AMA
An asynchronous alternating minimization algorithm with Variance Reduction for Model Predictive Control applications
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Abstract
This paper focuses on the design of an asynchronous dual solver suitable for model predictive control (MPC) applications. The proposed solver relies on a state-of-the-art variance reduction (VR) scheme, previously used in the context of stochastic proximal gradient methods (Prox-SVRG), and on the alternating minimization algorithm (AMA). The resultant algorithm, a stochastic AMA with VR (SVR-AMA), shows geometric convergence (in the expectation) to a suboptimal solution of the MPC problem and, compared to other state-of-the-art dual asynchronous algorithms, allows one to tune the probability of the asynchronous updates to improve the quality of the estimates. Two novel accelerated versions of the Prox-SVRG (and, by duality, of SVR-AMA) are also provided. We apply the proposed algorithm to a specific class of splitting methods, that is, the decomposition along the length of the prediction horizon. Numerical results on the longitudinal control problem of an Airbus passenger aircraft show the benefits that we can gain in terms of computation time when using our proposed solver with an adaptive probability distribution.