LQG Control With Minimum Directed Information: Semidefinite Programming Approach

DOI10.1109/TAC.2017.2709618MaRDI QIDQ4567044zbMATH OpenOpenAlexFDO

Authors Takashi Tanaka, Peyman Mohajerin Esfahani, Sanjoy K. Mitter

Publication date 27 June 2018

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.04214

Mathematics Subject Classification ID

Semidefinite programming (90C22) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

Abstract: We consider a discrete-time Linear-Quadratic-Gaussian (LQG) control problem in which Massey's directed information from the observed output of the plant to the control input is minimized while required control performance is attainable. This problem arises in several different contexts, including joint encoder and controller design for data-rate minimization in networked control systems. We show that the optimal control law is a Linear-Gaussian randomized policy. We also identify the state space realization of the optimal policy, which can be synthesized by an efficient algorithm based on semidefinite programming. Our structural result indicates that the filter-controller separation principle from the LQG control theory, and the sensor-filter separation principle from the zero-delay rate-distortion theory for Gauss-Markov sources hold simultaneously in the considered problem. A connection to the data-rate theorem for mean-square stability by Nair and Evans is also established.

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Cited in

(6)

• Detection-averse optimal and receding-horizon control for Markov decision processes
• MPC‐based approximate dual controller by information matrix maximization
• LQG control and linear policies for noisy communication links with synchronized side information at the decoder
• Information transfer and its control in linear discrete stochastic systems
• Simultaneous perception-action design via invariant finite belief sets
• Semidefinite programming approximation for a matrix optimization problem over an uncertain linear system

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