Figure 6.10

Figure 6.10:

Contours of V(x(0),\mathbf {u}_1,\mathbf {u}_2) for N=1.

Code for Figure 6.10

nonlinsys.py


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79 # sys = nonlinsys()
#
import numpy as np
from scipy.linalg import solve_discrete_are
from control import dlqr
import casadi

def nonlinsys():
    """
    Returns a dict of parameters for the unstable nonlinear system.
    """

    # Initialize system dict
    sys = {}

    # Define the model and stage cost
    sys['Nx'] = 2
    sys['Nu'] = 2

    def f(x, u):
        return np.array([x[0]**2 + x[1] + u[0]**3 + u[1],
                        x[0] + x[1]**2 + u[0] + u[1]**3])
    sys['f'] = f

    def l(x, u):
        return 0.5*(x.T @ x + u.T @ u)
    sys['l'] = l

    # Define steady state and bounds
    sys['xs'] = np.zeros(sys['Nx'])
    sys['us'] = np.zeros(sys['Nu'])
    sys['ulb'] = np.array([-2.5, -2.5])
    sys['uub'] = np.array([2.5, 2.5])

    # Linearize the ODE
    x = casadi.SX.sym('x', sys['Nx'])
    u = casadi.SX.sym('u', sys['Nu'])
    f_expr = casadi.vertcat(x[0]**2 + x[1] + u[0]**3 + u[1],
                           x[0] + x[1]**2 + u[0] + u[1]**3)
    fcasadi = casadi.Function('f', [x, u], [f_expr])

    # Get Jacobians
    A = casadi.jacobian(f_expr, x)
    B = casadi.jacobian(f_expr, u)

    # Create functions to evaluate Jacobians
    A_func = casadi.Function('A', [x, u], [A])
    B_func = casadi.Function('B', [x, u], [B])

    # Evaluate at steady state
    sys['A'] = np.array(A_func(sys['xs'], sys['us']))
    sys['B'] = np.array(B_func(sys['xs'], sys['us']))

    # Linearize the objective
    l_expr = 0.5*(x.T @ x + u.T @ u)
    lcasadi = casadi.Function('l', [x, u], [l_expr])

    # Get Hessians
    Q = casadi.hessian(l_expr, x)[0]
    R = casadi.hessian(l_expr, u)[0]

    # Create functions to evaluate Hessians
    Q_func = casadi.Function('Q', [x, u], [Q])
    R_func = casadi.Function('R', [x, u], [R])

    sys['Q'] = np.array(Q_func(sys['xs'], sys['us']))
    sys['R'] = np.array(R_func(sys['xs'], sys['us']))

    # Compute LQR controller
    K, S, E = dlqr(sys['A'], sys['B'], sys['Q'], sys['R'])
    sys['K'] = -K
    sys['P'] = S

    def Vf(x):
        return 0.5 * x.T @ sys['P'] @ x
    sys['Vf'] = Vf


    return sys

distributedgradient.py


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152 # [ustar, uiter] = distributedgradient(V, u0, ulb, uub, ...)
#
# Runs a distributed gradient algorithm for a problem with box constraints.
#
# V should be a function handle defining the objective function. u0 should be
# the starting point. ulb and uub should give the box constraints for u.
#
# Additional arguments are passed as 'key' value pairs. They are as follows:
#
# - 'beta', 'sigma' : parameters for line search (default 0.8 and 0.01)
# - 'alphamax' : maximum step to take in any iteration (default 10)
# - 'Niter' : Maximum number of iterations (default 25)
# - 'steptol', 'gradtol' : Absolute tolerances on stepsize and gradient.
#                          Algorithm terminates if the stepsize is less than
#                          steptol and the gradient is less than gradtol
#                          (defaults 1e-5 and 1e-6). Set either to a negative
#                          value to never stop early.
# - 'Nlinesearch' : maximum number of backtracking steps (default 100)
# - 'I' : cell array defining the variables for each system. Default is
#         each variable is a separate system.
#
# Return values are ustar, the final point, and uiter, a matrix of iteration
# progress.
import numpy as np
from casadi import SX, jacobian, Function

def distributedgradient(V, u0, ulb, uub, **kwargs):
    """
    Runs a distributed gradient algorithm for a problem with box constraints.
    """
    # Get options
    param = {
        'beta': 0.8,
        'sigma': 0.01,
        'alphamax': 15,
        'Niter': 50,
        'steptol': 1e-5,
        'gradtol': 1e-6,
        'Nlinesearch': 100,
        'I': None
    }
    param.update(kwargs)

    Nu = len(u0)
    if param['I'] is None:
        param['I'] = [[i] for i in range(Nu)]

    # Project initial condition to feasible space
    u0 = np.minimum(np.maximum(u0, ulb), uub)

    # Get gradient function via CasADi
    usym = SX.sym('u', Nu)
    vsym = V(usym)
    Jsym = jacobian(vsym, usym)
    dVcasadi = Function('V', [usym], [Jsym])

    # Start the loop
    k = 0
    uiter = np.full((Nu, param['Niter'] + 1), np.nan)
    uiter[:,0] = u0
    g, gred = calcgrad(dVcasadi, u0, ulb, uub)
    v = np.full(Nu, np.inf)

    while k < param['Niter'] and (np.linalg.norm(gred) > param['gradtol'] or np.linalg.norm(v) > param['steptol']):
        # Take step
        uiter[:,k+1], v = coopstep(param['I'], V, g, uiter[:,k], ulb, uub, param)
        k += 1

        # Update gradient
        g, gred = calcgrad(dVcasadi, uiter[:,k], ulb, uub)

    # Get final point and strip off extra points
    uiter = uiter[:,:k+1]
    ustar = uiter[:,-1]

    return ustar, uiter

def coopstep(I, V, g, u0, ulb, uub, param):
    """
    Takes one step of cooperative distributed gradient projection.
    """
    Nu = len(u0)
    Ni = len(I)
    us = np.full((Nu, Ni), np.nan)
    Vs = np.full(Ni, np.nan)

    # Run each optimization
    V0 = float(V(u0))
    for j in range(Ni):
        # Compute step
        v = np.zeros(Nu)
        i = I[j]
        v[i] = -g[i]
        ubar = np.minimum(np.maximum(u0 + v, ulb), uub)
        v = ubar - u0

        # Choose alpha
        if np.any(ubar == ulb) or np.any(ubar == uub):
            alpha = 1.0
        else:
            with np.errstate(divide='ignore'):
                alpha_lb = (ulb[i] - u0[i]) / v[i]
                alpha_ub = (uub[i] - u0[i]) / v[i]
            alpha = np.concatenate([alpha_lb, alpha_ub])
            alpha = alpha[np.isfinite(alpha) & (alpha >= 0)]
            if len(alpha) == 0:
                alpha = 0.0
            else:
                alpha = min(np.min(alpha), param['alphamax'])

        # Backtracking line search
        k = 1
        while float(V(u0 + alpha * v)) > V0 + param['sigma'] * alpha * np.dot(g[i].flatten(), v[i].flatten()) \
              and k <= param['Nlinesearch']:
            alpha = param['beta'] * alpha
            k += 1

        us[:, j] = u0 + alpha * v
        Vs[j] = float(V(us[:, j]))

    # Choose step to take
    w = np.ones(Ni) / Ni
    for j in range(Ni):
        # Check for descent
        u = us @ w
        if float(V(u)) <= np.dot(Vs, w):
            break
        elif j == Ni - 1:
            u = u0.copy()
            print('Warning: No descent directions!')
            break

        # Get rid of worst player
        jmax = np.argmax(Vs)
        Vs[jmax] = -np.finfo(float).max
        w[jmax] = 0
        w = w / np.sum(w)

    # Calculate actual step
    v = u - u0
    return u, v


def calcgrad(dV, u, ulb, uub):
    """
    Calculates gradient and reduced gradient at a given point.
    """
    g = np.array(dV(u)).flatten()
    gred = g.copy()
    gred[(u == ulb) & (g > 0)] = 0
    gred[(u == uub) & (g < 0)] = 0
    return g, gred

main.py


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52 # Iterations of nonlinear system for N = 1.
# [depends] functions/nonlinsys.py functions/distributedgradient.py
import sys
import os
import matplotlib.pyplot as plt
import numpy as np
import casadi as ca

sys.path.append('functions/')
from nonlinsys import nonlinsys
from distributedgradient import distributedgradient
from stackcontours import stackcontours
from misc import gnuplotsave

sys = nonlinsys()

# CasADi-compatible dynamics and costs (sys['f']/sys['Vf'] use numpy internally).
P = sys['P']

def f_ca(x, u):
    return ca.vertcat(x[0]**2 + x[1] + u[0]**3 + u[1],
                      x[0] + x[1]**2 + u[0] + u[1]**3)

def l_ca(x, u):
    return 0.5*(x[0]**2 + x[1]**2 + u[0]**2 + u[1]**2)

def Vf_ca(x):
    Px0 = P[0,0]*x[0] + P[0,1]*x[1]
    Px1 = P[1,0]*x[0] + P[1,1]*x[1]
    return 0.5*(x[0]*Px0 + x[1]*Px1)

# Define objective function.
x = np.array([3., -3.])
def V(u):
    return l_ca(x, u) + Vf_ca(f_ca(x, u))

# Simulate projected gradient.
u0 = np.zeros(2)
_, uiter = distributedgradient(V, u0, sys['ulb'], sys['uub'])

# Get cost function contours.
u1_vec = np.linspace(-3, 2, 101)
u2_vec = np.linspace(-3, 1, 81)
u1_grid, u2_grid = np.meshgrid(u1_vec, u2_vec)
V_grid = np.vectorize(lambda a, b: float(V(np.array([a, b]))))(u1_grid, u2_grid)

# Make a plot.
if not os.getenv('OMIT_PLOTS') == 'true':
    plt.figure()
cs = plt.contour(u1_grid, u2_grid, V_grid, 25)
if not os.getenv('OMIT_PLOTS') == 'true':
    plt.plot(uiter[0,:], uiter[1,:], '-ok')