Robust Linear Quadratic Regulator: Exact Tractable Reformulation
Robust Linear Quadratic Regulator: Exact Tractable Reformulation
Wouter Jongeneel, Tyler Summers, Peyman Mohajerin Esfahani, CDC 2019
Wouter Jongeneel, Tyler Summers, Peyman Mohajerin Esfahani, CDC 2019
Keywords: Optimal, robust, control, data, dynamic, game, Riccati, equation
Summary
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.