Wouter Jongeneel, Tyler Summers, Peyman Mohajerin Esfahani, CDC 2019

Keywords: Optimal, robust, control, data, dynamic, game, Riccati, equation

Summary

We give novel characterizations of the uncertainty sets that arise in the robust linear quadratic regulator problem, develop Riccati equation-based solutions to optimal robust LQR problems over these sets, and give theoretical and empirical evidence that the resultant robust control law is a natural and computationally attractive alternative to the certainty-equivalent control law when the pair (A, B) is identified under l2-regularized linear least-squares.

Read the short version for CDC or the extended and updated version.

Thanks

Many thanks to Wouter Jongeneel and Dr. Peyman Esfahani at TU Delft for their collaboration on this work. Wouter has just finished his master’s thesis and is starting a PhD at EPFL under Daniel Kuhn January 2020 – congratulations!