English

Certainty Equivalence is Efficient for Linear Quadratic Control

Optimization and Control 2019-06-25 v2 Machine Learning Machine Learning

Abstract

We study the performance of the certainty equivalent controller on Linear Quadratic (LQ) control problems with unknown transition dynamics. We show that for both the fully and partially observed settings, the sub-optimality gap between the cost incurred by playing the certainty equivalent controller on the true system and the cost incurred by using the optimal LQ controller enjoys a fast statistical rate, scaling as the square of the parameter error. To the best of our knowledge, our result is the first sub-optimality guarantee in the partially observed Linear Quadratic Gaussian (LQG) setting. Furthermore, in the fully observed Linear Quadratic Regulator (LQR), our result improves upon recent work by Dean et al. (2017), who present an algorithm achieving a sub-optimality gap linear in the parameter error. A key part of our analysis relies on perturbation bounds for discrete Riccati equations. We provide two new perturbation bounds, one that expands on an existing result from Konstantinov et al. (1993), and another based on a new elementary proof strategy.

Keywords

Cite

@article{arxiv.1902.07826,
  title  = {Certainty Equivalence is Efficient for Linear Quadratic Control},
  author = {Horia Mania and Stephen Tu and Benjamin Recht},
  journal= {arXiv preprint arXiv:1902.07826},
  year   = {2019}
}

Comments

In the current version we extended our analysis to the case of partially observable systems, i.e. we provided a suboptimality analysis for the Linear Quadratic Gaussian (LQG) setting

R2 v1 2026-06-23T07:46:36.091Z