English

Infinite-horizon Risk-constrained Linear Quadratic Regulator with Average Cost

Optimization and Control 2021-03-30 v1 Systems and Control Systems and Control

Abstract

The behaviour of a stochastic dynamical system may be largely influenced by those low-probability, yet extreme events. To address such occurrences, this paper proposes an infinite-horizon risk-constrained Linear Quadratic Regulator (LQR) framework with time-average cost. In addition to the standard LQR objective, the average one-stage predictive variance of the state penalty is constrained to lie within a user-specified level. By leveraging the duality, its optimal solution is first shown to be stationary and affine in the state, i.e., u(x,λ)=K(λ)x+l(λ)u(x,\lambda^*) = -K(\lambda^*)x + l(\lambda^*), where λ\lambda^* is an optimal multiplier, used to address the risk constraint. Then, we establish the stability of the resulting closed-loop system. Furthermore, we propose a primal-dual method with sublinear convergence rate to find an optimal policy u(x,λ)u(x,\lambda^*). Finally, a numerical example is provided to demonstrate the effectiveness of the proposed framework and the primal-dual method.

Keywords

Cite

@article{arxiv.2103.15363,
  title  = {Infinite-horizon Risk-constrained Linear Quadratic Regulator with Average Cost},
  author = {Feiran Zhao and Keyou You and Tamer Basar},
  journal= {arXiv preprint arXiv:2103.15363},
  year   = {2021}
}

Comments

Submitted to IEEE CDC 2021

R2 v1 2026-06-24T00:38:11.801Z