Efficient On-Line Computation of Constrained Optimal Control

We consider constrained finite-time optimal control problems for discrete-time linear time-invariant systems with constraints on inputs and outputs based on linear and quadratic performance indices. The solution to such problems is a time-varying piecewise affine (PWA) state-feedback law and it can be computed by means of multiparametric programming. By exploiting the properties of the value function and the piecewise affine optimal control law of the constrained finite time optimal control (CFTOC), we propose two new algorithms that avoid storing the polyhedral regions. The new algorithms significantly reduce the on-line storage demands and computational complexity during evaluation of the PWA feedback control law resulting from the CFTOC.