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finite-horizon-lqr
Solving finite-horizon LQR via dynamic programming for MPC.
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Finite-Horizon LQR for MPC
Problem Formulation
Minimize cost over horizon N:
J = Σ(k=0 to N-1) [x'Qx + u'Ru] + x_N' P x_N
Backward Riccati Recursion
Initialize: P_N = Q (or LQR solution for stability)
For k = N-1 down to 0:
K_k = inv(R + B'P_{k+1}B) @ B'P_{k+1}A
P_k = Q + A'P_{k+1}(A - B @ K_k)
Forward Simulation
Starting from x_0:
u_k = -K_k @ x_k
x_{k+1} = A @ x_k + B @ u_k
Python Implementation
def finite_horizon_lqr(A, B, Q, R, N, x0):
nx, nu = A.shape[0], B.shape[1]
K = np.zeros((nu, nx, N))
P = Q.copy()
# Backward pass
for k in range(N-1, -1, -1):
K[:,:,k] = np.linalg.solve(R + B.T @ P @ B, B.T @ P @ A)
P = Q + A.T @ P @ (A - B @ K[:,:,k])
# Return first control
return -K[:,:,0] @ x0
MPC Application
At each timestep:
- Measure current state x
- Solve finite-horizon LQR from x
- Apply first control u_0
- Repeat next timestep
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