Policy Iteration for Multiplicative Noise Output Feedback Control
Systems and Control
2022-04-01 v1 Systems and Control
Optimization and Control
Abstract
We propose a policy iteration algorithm for solving the multiplicative noise linear quadratic output feedback design problem. The algorithm solves a set of coupled Riccati equations for estimation and control arising from a partially observable Markov decision process (POMDP) under a class of linear dynamic control policies. We show in numerical experiments far faster convergence than a value iteration algorithm, formerly the only known algorithm for solving this class of problem. The results suggest promising future research directions for policy optimization algorithms in more general POMDPs, including the potential to develop novel approximate data-driven approaches when model parameters are not available.
Cite
@article{arxiv.2203.17165,
title = {Policy Iteration for Multiplicative Noise Output Feedback Control},
author = {Benjamin Gravell and Matilde Gargiani and John Lygeros and Tyler H. Summers},
journal= {arXiv preprint arXiv:2203.17165},
year = {2022}
}