Fast integrators with sensitivity propagation for use in CasADi

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.