Efficient Robust Model Predictive Control using Chordality

In this paper we show that chordal structure can be used to devise efficient optimization methods for robust model predictive control problems. To this end, first the problem is converted to an equivalent robust quadratic programming formulation. We then illustrate how the chordal structure can be used to distribute the computations in a primal-dual interior-point method among computational agents, which in turn allows us to accelerate the algorithm by efficient parallel computations. We investigate performance of the framework in Julia using numerical examples.