Nonlinear programming and code-generation in CasADi
Joris Gillis
MECO Research Team, Department Mechanical Engineering, KU Leuven
DMMS lab, Flanders Make, Leuven, Belgium
joris.gillis@kuleuven.be
1 Introduction
CasADi [1] (http://casadi.org) is an open-source
symbolic software framework for nonlinear programming,
available in C++, Python, MATLAB and Octave. This ab-
stract highlights (using ‘*‘) some recent advances included
in CasADi 3.5 that enable a workflow from high-level mod-
eling to low-level use cases.
2 Modeling of an optimal control transcription
Consider a smooth nonlinear discretised system dynamics
F : R2 × R 7→ R2 . We study an optimal control task, imple-
mented as multiple-shooting, that drives the states to zero
starting from a parametric initial state p ∈ R2 .
minimize
x1 ,x2 ,...,xN+1 ,
∑N+1 2
i=1 xi ,
u1 ,u2 ,...,uN
subject to xk+1 = F(xk , uk ), k = 1 . . . N
−1 ≤ uk ≤ 1, k = 1 . . . N
x1 = p.
We use CasADi’s modeling language Opti to formulate the
problem symbolically:
o p t i = casadi . Opti ( ) ;
x = o p t i . v a r i a b l e ( 2 ,N+ 1 ) ;
u = o p t i . v a r i a b l e ( 1 ,N ) ;
p = opti . parameter ( 2 ) ;
o p t i . minimize ( sumsqr ( x ) ) ;
f o r k = 1 :N
opti . subject to ( . . .
x ( : , k +1)== F ( x ( : , k ) , u ( : , k ) ) ;
end
o p t i . s u b j e c t t o (−1<=u <=1);
opti . subject to (x (: ,1)== p );
We indicate to use the sparsity-exploiting active-set solver
qrqp[2] for the subproblems of a sequential quadratic pro-
gramming solver:
o pt s . qpsol = ’ qrqp ’ ;
o p t i . s o l v e r ( ’ sqpmethod ’ , o p t s ) ;
CasADi provides this solver with derivatives such as the
large-and-sparse constraint Jacobian (see Figure 1) through
algorithmic differentiation of expression graphs.
0 1 1
0.5 0.5
20
p2
0 0
40
-0.5 -0.5
60 -1 -1
0 50 -0.5 0 0.5
nz = 182 p1
Fig. 1. Jacobian structure Fig. 2. Evaluation of M(p)
3 Code-generation
A mapping from the initial state p to the optimal control
action u1 can be obtained* as a CasADi Function object:
M = o p t i . t o F u n c t i o n ({ p } ,{ u ( : , 1 ) } ) ;
Function objects can be saved* to a file and loaded back
(1) in, and can be exported to a self-contained C code. Code-
generation now supports the implementation of the instanti-
ated NLP solver* .
These additions allow flexible workflows such as modeling
system dynamics in Python-CasADi (e.g using JModelica),
using that model to construct an optimal control implemen-
tation in MATLAB-CasADi, and deploying the resulting al-
gorithm on an embedded system (e.g. using Simulink).
Here, we merely demonstrate generating a mex file from M
to speed up production of Figure 2:
M. g e n e r a t e ( ’Mc ’ , s t r u c t ( ’ mex ’ , t r u e ) ) ;
mex Mc . c −l a r g e A r r a y D i m s
References
[1] Joel A. E. Andersson, Joris Gillis, Greg Horn, James B. Rawlings, and
Moritz Diehl. CasADi: a software framework for nonlinear optimization and opti-
mal control. Mathematical Programming Computation, Jul 2018.
[2] Joel A.E. Andersson and James B. Rawlings. Sensitivity Analysis for Non-
linear Programming in CasADi. IFAC-PapersOnLine, 51(20):331 – 336, 2018. 6th
IFAC Conference on Nonlinear Model Predictive Control NMPC 2018.
Acknowledgement. This work has been carried out within the framework of projects
Flanders Make ICON: Physical and control co-design of electromechanical drivetrains
for machines and vehicles, and KU Leuven-BOF PFV/10/002 Centre of Excellence:
Optimization in Engineering (OPTEC). Flanders Make is the Flemish strategic re-
search centre for the manufacturing industry.