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Regret-optimal control in dynamic environments

Goel, Gautam and Hassibi, Babak (2020) Regret-optimal control in dynamic environments. . (Unpublished)

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We consider the control of linear time-varying dynamical systems from the perspective of regret minimization. Unlike most prior work in this area, we focus on the problem of designing an online controller which competes with the best dynamic sequence of control actions selected in hindsight, instead of the best controller in some specific class of controllers. This formulation is attractive when the environment changes over time and no single controller achieves good performance over the entire time horizon. We derive the structure of the regret-optimal online controller via a novel reduction to H_∞ control and present a clean data-dependent bound on its regret. We also present numerical simulations which confirm that our regret-optimal controller significantly outperforms the H₂ and H_∞ controllers in dynamic environments.

Item Type:Report or Paper (Discussion Paper)
Related URLs:
URLURL TypeDescription Paper
Goel, Gautam0000-0002-7054-7218
Hassibi, Babak0000-0002-1375-5838
Additional Information:Copyright 2021 by the author(s).
Record Number:CaltechAUTHORS:20201109-155541657
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:106574
Deposited By: George Porter
Deposited On:10 Nov 2020 15:28
Last Modified:23 Dec 2022 18:18

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