Fast integrators with sensitivity propagation for use in CasADi

TL;DR

This paper presents efficient integrators with sensitivity propagation for optimal control, integrated with CasADi, demonstrating significant speed improvements over existing methods in simulation and sensitivity analysis.

Contribution

It introduces a workflow and open-source implementation of fast integrators with sensitivity propagation compatible with CasADi for optimal control problems.

Findings

Speedup of one order of magnitude in simulation.

Up to three orders of magnitude faster sensitivity propagation.

Demonstrated on an airborne wind energy system model.

Abstract

Efficient integrators with sensitivity propagation are an essential ingredient for the numerical solution of optimal control problems. This paper gives an overview on the acados integrators, their Python interface and presents a workflow that allows using them with their sensitivities within a nonlinear programming (NLP) solver interfaced by CasADi. The implementation is discussed, demonstrated and provided as open-source software. The computation times of the proposed integrator and its sensitivity computation are compared to the native CasADi collocation integrator, CVODES and IDAS on different examples. A speedup of one order of magnitude for simulation and of up to three orders of magnitude for the forward sensitivity propagation is shown for an airborne wind energy system model.