Regret-optimal Estimation and Control
From MaRDI portal
Publication:6371010
DOI10.1109/TAC.2023.3253304arXiv2106.12097MaRDI QIDQ6371010FDOQ6371010
B. Hassibi, Author name not available (Why is that?)
Publication date: 22 June 2021
Abstract: We consider estimation and control in 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 causal estimators and controllers which compete against a clairvoyant noncausal policy, instead of the best policy selected in hindsight from some fixed parametric class. We show that the regret-optimal estimator and regret-optimal controller can be derived in state-space form using operator-theoretic techniques from robust control and present tight,data-dependent bounds on the regret incurred by our algorithms in terms of the energy of the disturbances. Our results can be viewed as extending traditional robust estimation and control, which focuses on minimizing worst-case cost, to minimizing worst-case regret. We propose regret-optimal analogs of Model-Predictive Control (MPC) and the Extended KalmanFilter (EKF) for systems with nonlinear dynamics and present numerical experiments which show that our regret-optimal algorithms can significantly outperform standard approaches to estimation and control.
This page was built for publication: Regret-optimal Estimation and Control
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6371010)
