Hidden invexity in model predictive control

Jorn H. Baayen, Krzysztof Postek

Published 2020-07-14Version 1

Non-convex optimal control problems occurring in,e.g., water or power systems, typically involve a large number of variables related through non-linear equality constraints. The ideal goal is to find a globally optimal solution, and numerical experience indicates that algorithms aiming for Karush-Kuhn-Tucker points often find (near-)optimal solutions. In our paper, we provide a theoretical underpinning for this phenomenon, showing that on a broad class of problems the objective can be shown to be an invex (invariant convex) function of the control decision variables when state variables are eliminated using implicit function theory. In this way (near) global optimality can be demonstrated, where the exact nature of the global optimality guarantee depends on the position of the solution within the feasible set. In a numerical example, we show how high-quality solutions are obtained for a river control problem where invexity holds.